Closed-End Country Funds and U.S. Market Sentiment, Mitsui Life Financial Research Center
Working Paper No. 93-13
Posted: 9 Aug 1999
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: Suggested Citation
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)
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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