Closed-End Country Funds and U.S. Market Sentiment, Mitsui Life Financial Research Center

Working Paper No. 93-13

Posted: 9 Aug 1999

See all articles by James N. Bodurtha

James N. Bodurtha

Georgetown University - Department of Finance

Dong-Soon Kim

Chung-Ang University

Charles M.C. Lee

Stanford University - Graduate School of Business

Date Written: March 22, 1993

Abstract

The premiums on closed-end country funds tend to move in tandem, but do not move together with premiums on domestic closed-end funds. After controlling for foreign market fundamentals, changes in the stock price of country funds co-move with U.S. market returns, but changes in their net asset values do not. An index of changes in country fund premiums explains cross-sectional stock returns in the U.S. market. Collectively, these findings suggest U.S. stock prices are affected by market-wide sentiments which are reflected in closed-end country fund premiums.

JEL Classification: G12

Suggested Citation

Bodurtha, James N. and Kim, Dong-Soon and Lee, Charles M.C., Closed-End Country Funds and U.S. Market Sentiment, Mitsui Life Financial Research Center (March 22, 1993). Working Paper No. 93-13. Available at SSRN: https://ssrn.com/abstract=5390

James N. Bodurtha

Georgetown University - Department of Finance ( email )

3700 O Street, NW
Washington, DC 20057
United States
202-687-6351 (Phone)
202-687-4031 (Fax)

Dong-Soon Kim

Chung-Ang University ( email )

College of Business Administration 221, Heuksuk-dong
Seoul
Korea
82-2-820-5570 (Phone)
82-2-824-9685 (Fax)

Charles M.C. Lee (Contact Author)

Stanford University - Graduate School of Business ( email )

Stanford Graduate School of Business
655 Knight Way
Stanford, CA 94305-5015
United States
650-721-1295 (Phone)

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