Time-varying investment barriers and closed-end country fund pricing

Andrew Marshall, John Davies, M. Fletcher

Research output: Contribution to journalArticle

Abstract

We examine the effect of time-varying investment barriers on the pricing of UK closed-end emerging market country funds. We find that a direct measure of capital market segmentation is significantly negatively related to both country fund stock return and Net Asset Value (NAV) return of the fund, but there is no relation to the premium. Also we find some evidence of a positive relation for an indirect barrier (inflation variability) and stock return, NAV return and the premium. Overall our results support an information hypothesis of the impact of investment barriers on closed-end fund pricing.
LanguageEnglish
Pages1-16
Number of pages16
JournalFinance Research Letters
StateAccepted/In press - 29 Dec 2016

Fingerprint

Pricing
Time-varying
Closed-end country funds
Stock returns
Country funds
Asset value
Premium
Market segmentation
Emerging markets
Inflation variability
Capital markets
Closed-end funds

Keywords

  • net asset value
  • time-varying investment barriers
  • pricing
  • closed-end funds
  • investment barrier
  • market access

Cite this

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abstract = "We examine the effect of time-varying investment barriers on the pricing of UK closed-end emerging market country funds. We find that a direct measure of capital market segmentation is significantly negatively related to both country fund stock return and Net Asset Value (NAV) return of the fund, but there is no relation to the premium. Also we find some evidence of a positive relation for an indirect barrier (inflation variability) and stock return, NAV return and the premium. Overall our results support an information hypothesis of the impact of investment barriers on closed-end fund pricing.",
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Time-varying investment barriers and closed-end country fund pricing. / Marshall, Andrew; Davies, John; Fletcher, M.

In: Finance Research Letters, 29.12.2016, p. 1-16.

Research output: Contribution to journalArticle

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