Good-deal Performance Bounds and the Diversification Benefits of U.S. International Equity Closed-end Funds

Research output: Chapter in Book/Report/Conference proceedingChapter

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 languageEnglish
Title of host publicationHandbook of Financial Econometrics, Statistics, Technology, and Risk Management
EditorsCheng-Few Lee, Alice Lee, John Lee
Chapter46
Pages1563-1585
Number of pages23
ISBN (Electronic)978-981-98-0996-7
DOIs
Publication statusPublished - May 2025

Keywords

  • Diversification benefits
  • Good-deal performance
  • Closed-end funds

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