Time-varying investment barriers and closed-end country fund pricing
Marshall, Andrew and Davies, John and Fletcher, M. (2016) Time-varying investment barriers and closed-end country fund pricing. Finance Research Letters. pp. 1-16. ISSN 1544-6123 (In Press)
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Abstract
We examine the effect of time-varying investment barriers on the pricing of UK closed-end emerging market country funds. We find that a direct measure of capital market segmentation is significantly negatively related to both country fund stock return and Net Asset Value (NAV) return of the fund, but there is no relation to the premium. Also we find some evidence of a positive relation for an indirect barrier (inflation variability) and stock return, NAV return and the premium. Overall our results support an information hypothesis of the impact of investment barriers on closed-end fund pricing.
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Item type: Article ID code: 59261 Dates: DateEvent29 December 2016Published29 December 2016AcceptedSubjects: Social Sciences > Commerce > Accounting
Social Sciences > Economic TheoryDepartment: Strathclyde Business School > Accounting and Finance Depositing user: Pure Administrator Date deposited: 05 Jan 2017 10:00 Last modified: 08 Apr 2024 23:19 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/59261