Abstract
I use the best clientele (BC) performance measure of Chretien and Kammoun (2017) to evaluate the diversification benefits of U.S. international equity closed-end funds (CEFs). I find that both investment sector CEF portfolios and a large proportion of individual funds provide large, significant diversification benefits for the BC of investors. In contrast, using the Law-of-One-Price (LOP) performance measure of Chen and Knez (1996) yields no significant diversification benefits. There are large and significant differences between the BC and LOP performance measures, highlighting the importance of investor heterogeneity in evaluating the diversification benefits of international CEFs.
Original language | English |
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Title of host publication | Handbook of Financial Econometrics, Statistics, Technology, and Risk Management |
Editors | Cheng-Few Lee, Alice Lee, John Lee |
Chapter | 46 |
Pages | 1563-1585 |
Number of pages | 23 |
ISBN (Electronic) | 978-981-98-0996-7 |
DOIs | |
Publication status | Published - May 2025 |
Keywords
- Diversification benefits
- Good-deal performance
- Closed-end funds