Exploring the persistence of U.K. equity closed-end fund performance
Fletcher, Jonathan (2016) Exploring the persistence of U.K. equity closed-end fund performance. Advances in Investment Analysis and Portfolio Management, 7. pp. 185-213. (https://doi.org/10.6291/AIAPM.2016.07.09)
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Abstract
This paper examines whether there is any persistence in the value added by U.K. closed-end funds with domestic equity objectives. There is some short-term persistence in value added by the best performing funds when ranking funds by the past Jensen (1968) performance where past performance is divided by residual volatility. However the persistence in value added by funds is short term and disappears after one year. There is also persistence in performance ability by funds when using Net Asset Value (NAV) excess returns. In contrast to open-end mutual fund performance persistence studies, there is no support that there any closed-end funds which consistently destroy value to investors.
ORCID iDs
Fletcher, Jonathan ORCID: https://orcid.org/0000-0003-0568-9145;-
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Item type: Article ID code: 52796 Dates: DateEvent1 March 2016Published20 April 2015AcceptedSubjects: Social Sciences > Commerce > Accounting
Social Sciences > FinanceDepartment: Strathclyde Business School > Accounting and Finance Depositing user: Pure Administrator Date deposited: 22 Apr 2015 10:43 Last modified: 23 Sep 2024 00:38 URI: https://strathprints.strath.ac.uk/id/eprint/52796