Time Varying Investment Barriers and Closed-End Country Fund Pricing

39 Pages Posted: 17 Jul 2014

See all articles by John Richard (Dick) Davies

John Richard (Dick) Davies

University of Strathclyde - Department of Accounting and Finance

Mary Fletcher

University of the West of Scotland; University of Strathclyde - Department of Accounting and Finance

Andrew P. Marshall

University of Strathclyde - Strathclyde Business School

Date Written: July 16, 2014

Abstract

We examine the effect of time-varying investment barriers on the pricing of UK closed-end country funds. We find that our 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 one of our indirect barriers (inflation variability) and price, NAV and premium. Overall our results support an information hypothesis rather than a diversification benefits hypothesis of the impact of investment barriers on closed-end fund pricing.

Keywords: Closed-end country funds, investment trusts, capital controls, segmentation, integration

JEL Classification: G14, G12

Suggested Citation

Davies, John Richard (Dick) and Fletcher, Mary and Marshall, Andrew P., Time Varying Investment Barriers and Closed-End Country Fund Pricing (July 16, 2014). Available at SSRN: https://ssrn.com/abstract=2467195 or http://dx.doi.org/10.2139/ssrn.2467195

John Richard (Dick) Davies

University of Strathclyde - Department of Accounting and Finance ( email )

Curran Building
100 Cathedral Street
Glasgow G4 0LN
United Kingdom

Mary Fletcher (Contact Author)

University of the West of Scotland ( email )

A734 Almada Building
Almada Street
Hamilton, Scotland ML3 0JB
United Kingdom
01698 283100 x8272 (Phone)

University of Strathclyde - Department of Accounting and Finance ( email )

Curran Building
100 Cathedral Street
Glasgow G4 0LN
United Kingdom

Andrew P. Marshall

University of Strathclyde - Strathclyde Business School ( email )

100 Cathedral Street
Glasgow G4 0LN
United Kingdom
44 0141 548 3894 (Phone)

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