Download This PaperThe Information Content of Single Country Closed-End Fund Discounts
47 Pages Posted: 23 Feb 2006 Last revised: 17 Nov 2019
Date Written: November 15, 2019
Abstract
Using monthly data from 1996 to 2018 for the universe of single country closed-end funds, we study the information content of fund discounts/premiums. Unlike previous studies, we find that discounts/premiums forecast both share price (SP) and net asset value (NAV) returns. Additional tests show that the fund discounts/premiums contain information about future macroeconomic factors of their corresponding countries. We also find a strong association between expectations of future macroeconomic conditions and the difference in NAV and SP returns. Our results provide direct evidence for the presence of fundamental information in closed-end country fund discounts/premiums, consistent with international capital market segmentation.
Keywords: Closed-end funds, Emerging markets, Capital market segmentation, Investor sentiment
JEL Classification: G15, G14
Suggested Citation: Suggested Citation
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