Managerial Performance and Closed-End Country Fund Premiums: A Lead or Lag Relationship?
Pace University - Lubin School of Business
Ben S. Branch
University of Massachusetts at Amherst - Isenberg School of Management
November 16, 2010
International Review of Finance, Vol. 10, Issue 4, pp. 433-453, 2010
Herein, we examine whether changes in closed-end country fund premiums lead and/or lag management performance. Using a sample of 46 country funds and a time period of 11 years, we find evidence of a significant negative relationship between past performance and current fund premiums, but no support for the hypothesis that past premiums are indicative of future performance. Furthermore, the above results are driven primarily by the emerging market funds. The difference between emerging market and developed market fund premiums' response to past performance, although less obvious, continues to hold in the crises period, but vanishes in the tranquil period.
Number of Pages in PDF File: 21Accepted Paper Series
Date posted: January 1, 2011
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