Managerial Performance and Closed-End Country Fund Premiums: A Lead or Lag Relationship?
International Review of Finance, Forthcoming
31 Pages Posted: 1 Nov 2009 Last revised: 4 Sep 2019
Date Written: January 25, 2009
This study examines 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 crisis period, but vanishes in the tranquil period.
Keywords: closed-end funds, international finance, emerging markets, portfolio management
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