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

Andrew Marshall; John Davies; M. Fletcher

doi:10.1016/j.frl.2017.01.004

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

Andrew Marshall, John Davies, M. Fletcher

Accounting And Finance

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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.

Original language	English
Pages (from-to)	66-71
Number of pages	6
Journal	Finance Research Letters
Volume	21
Early online date	10 Jan 2017
DOIs	https://doi.org/10.1016/j.frl.2017.01.004
Publication status	Published - 31 May 2017

Keywords

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

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10.1016/j.frl.2017.01.004

Marshall-Davies-Fletcher-FRL-2017-Time-varying-investment-barriersAccepted author manuscript, 778 KBLicence: CC BY-NC-ND 4.0

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title = "Time-varying investment barriers and closed-end country fund pricing",

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.",

keywords = "net asset value, time-varying investment barriers, pricing, closed-end funds, investment barrier, market access",

author = "Andrew Marshall and John Davies and M. Fletcher",

note = "{\textcopyright} 2017 Elsevier Inc. All rights reserved. Richard Davies, Mary Fletcher, Andrew Marshall, Time-varying investment barriers and closed-end country fund pricing, Finance Research Letters, Volume 21, 2017, Pages 66-71, https://doi.org/10.1016/j.frl.2017.01.004",

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journal = "Finance Research Letters",

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T1 - Time-varying investment barriers and closed-end country fund pricing

AU - Marshall, Andrew

AU - Davies, John

AU - Fletcher, M.

N1 - © 2017 Elsevier Inc. All rights reserved. Richard Davies, Mary Fletcher, Andrew Marshall, Time-varying investment barriers and closed-end country fund pricing, Finance Research Letters, Volume 21, 2017, Pages 66-71, https://doi.org/10.1016/j.frl.2017.01.004

PY - 2017/5/31

Y1 - 2017/5/31

N2 - 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.

AB - 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.

KW - net asset value

KW - time-varying investment barriers

KW - pricing

KW - closed-end funds

KW - investment barrier

KW - market access

UR - http://www.sciencedirect.com/science/journal/15446123

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DO - 10.1016/j.frl.2017.01.004

M3 - Article

SN - 1544-6123

VL - 21

SP - 66

EP - 71

JO - Finance Research Letters

JF - Finance Research Letters

ER -

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

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Andrew Marshall

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

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