DC Field | Value | Language |
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dc.contributor.author | youngsoo kim | ko |
dc.contributor.author | Lee, Bong Soo | ko |
dc.date.accessioned | 2013-03-06T14:36:25Z | - |
dc.date.available | 2013-03-06T14:36:25Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2007-02 | - |
dc.identifier.citation | JOURNAL OF BANKING & FINANCE, v.31, no.2, pp.381 - 399 | - |
dc.identifier.issn | 0378-4266 | - |
dc.identifier.uri | http://hdl.handle.net/10203/87271 | - |
dc.description.abstract | In this paper, we present economic forces that affect the closed-end fund share price using a simple two-period model with limited participation. We characterize three economic forces: management fee, principal-agent problem effect and diversification benefit effect. The role of the management fee is consistent with recent studies by Ross [Ross S., 2002. Neoclassical finance, alternative finance and the closed end fund puzzle. European Financial Management 8, 129-137, Ross, S., 2002. A neoclassical look at behavioral finance: closed end funds. The Princeton lectures in finance 111] and findings of various empirical studies [e.g., Kumar, R., Noronha, G.M., 1992. A re-examination of the relationship between closed-end fund discounts and expenses. Journal of Financial Research 15(2) Summer, 139-147; Russel, P.S., 2005. Closed-end fund pricing: The puzzle, the explanations, and some new evidence, Journal of Business and Economic Studies 11(l), 34-49; Gemmill, G., Thomas, D.C., 2002. Noise trading, costly arbitrage, and asset prices: Evidence from closed end funds. Journal of Finance 57(6), 2571-2594]. The model's principal-agent problem effect is consistent with empirical findings by Brickley et al. [Brickley, James, Steven Manaster, Schallheim, James, 1991. The tax-timing option and the discounts on closed-end investment companies. Journal of Business 64, 287-312] of positive relation between the fund discount and the average variance of the constituent assets in the fund portfolio. In addition, it provides a theoretical framework for empirical studies, which examine the role of agency costs [Barclay, Michael J., Clifford G. Holderness, Jeffrey Pontiff, 1993. Private benefits from block ownership and discounts on closed-end funds. Journal of Financial Economics 33, 263-291] and compensation contracts [Coles, J., Suay, J., Woodbury, D., 2000. Fund advisor compensation in closed-end funds. Journal of Finance 55 (3), 1385-1414; Deli, Daniel N., 2002. Mutual fund advisory contracts: An empirical Investigation. Journal of Finance 57(l), 109-133] on the behavior of fund managers and fund discounts. The model's diversification benefit effect supports the result in [Bonser-Neal C., Brauer,G., Neal, R.., Wheatley, S., 1990. International investment restrictions and closed-end country fund prices. Journal of Finance 45, 523-547] that announcement of financial market liberalization is associated with a decrease in the fund premium. It also supports the findings of [Kumar, R., Noronha, G.M., 1992. A re-examination of the relationship between closed-end fund discounts and expenses. Journal of Financial Research 15(2) Summer, 139-147; Chay, J.B., Trzcinka, Charles A., 1999. Managerial performance and the cross-sectional pricing of closed-end funds. Journal of Financial Economics 52, 379-408] of a positive relation between current premium and the risk-adjusted return over the following year. (c) 2006 Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.publisher | Elsevier Science Bv | - |
dc.subject | STOCK-MARKET VOLATILITY | - |
dc.subject | ASSET PRICES | - |
dc.subject | COUNTRY FUNDS | - |
dc.subject | INFORMATION | - |
dc.subject | RETURNS | - |
dc.subject | RISK | - |
dc.subject | EQUILIBRIUM | - |
dc.subject | PERFORMANCE | - |
dc.subject | CONSUMPTION | - |
dc.subject | PORTFOLIO | - |
dc.title | Limited Participation and the Closed-end Fund Discount, | - |
dc.type | Article | - |
dc.identifier.wosid | 000244586200006 | - |
dc.identifier.scopusid | 2-s2.0-33846602275 | - |
dc.type.rims | ART | - |
dc.citation.volume | 31 | - |
dc.citation.issue | 2 | - |
dc.citation.beginningpage | 381 | - |
dc.citation.endingpage | 399 | - |
dc.citation.publicationname | JOURNAL OF BANKING & FINANCE | - |
dc.identifier.doi | 10.1016/j.jbankfin.2006.05.018 | - |
dc.contributor.localauthor | Lee, Bong Soo | - |
dc.contributor.nonIdAuthor | youngsoo kim | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | closed-end fund premium | - |
dc.subject.keywordAuthor | limited participation | - |
dc.subject.keywordAuthor | principal-agent problem | - |
dc.subject.keywordAuthor | information asymmetry | - |
dc.subject.keywordAuthor | diversification benefit | - |
dc.subject.keywordAuthor | financial market liberalization | - |
dc.subject.keywordPlus | STOCK-MARKET VOLATILITY | - |
dc.subject.keywordPlus | ASSET PRICES | - |
dc.subject.keywordPlus | COUNTRY FUNDS | - |
dc.subject.keywordPlus | INFORMATION | - |
dc.subject.keywordPlus | RETURNS | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | EQUILIBRIUM | - |
dc.subject.keywordPlus | PERFORMANCE | - |
dc.subject.keywordPlus | CONSUMPTION | - |
dc.subject.keywordPlus | PORTFOLIO | - |
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