Greek Closed-End Fund Premia: Differences and Similarities with Us Premia and Their Implications

CEPR Discussion Paper Series #1406

Posted: 15 Jan 1997  

Gikas A. Hardouvelis

University of Piraeus; Centre for Economic Policy Research (CEPR)

Emmanuel D. Tsiritakis

University of Piraeus

Date Written: May 1996

Abstract

The prices of Greek closed-end funds behave similarly to the prices of US funds: they deviate substantially from their net asset values (NAVs); they are more volatile than their NAVs; and they are overly-sensitive to the movements of the domestic stock market index. Furthermore, their premia are: (i) positively correlated cross-sectionally; (ii) positively correlated with the future NAV returns; and (iii) negatively correlated with the future returns on the funds. Yet most Greek funds are subsidiaries of banks that have considerable influence on their pricing, whereas US funds are owned mainly by small investors. Future explanations to the closed-end fund puzzle should, therefore, transcend the narrow institutional characteristics of asset composition and ownership of US closed-end funds.

JEL Classification: G14, G15, G23

Suggested Citation

Hardouvelis, Gikas A. and Tsiritakis, Emmanuel D., Greek Closed-End Fund Premia: Differences and Similarities with Us Premia and Their Implications (May 1996). CEPR Discussion Paper Series #1406. Available at SSRN: https://ssrn.com/abstract=8039

Gikas A. Hardouvelis (Contact Author)

University of Piraeus ( email )

80 Karaoli & Dimitriou Str.
18534 Piraeus, 185 34 -GR
Greece
+32010 4142323 (Phone)
+3210 6724848 (Fax)

HOME PAGE: http://www.eurobank.gr

Centre for Economic Policy Research (CEPR) ( email )

77 Bastwick Street
London, EC1V 3PZ
United Kingdom

Emmanuel D. Tsiritakis

University of Piraeus ( email )

80 Karaoli & Dimitriou Str.
18534 Piraeus, 185 34 -GR
Greece
00302104142187 (Phone)

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