Time-varying investment barriers and closed-end country fund pricing

Marshall, Andrew and Davies, John and Fletcher, M. (2017) Time-varying investment barriers and closed-end country fund pricing. Finance Research Letters, 21. pp. 66-71. ISSN 1544-6123 (https://doi.org/10.1016/j.frl.2017.01.004)

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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.

ORCID iDs

Marshall, Andrew ORCID logoORCID: https://orcid.org/0000-0001-7081-1296, Davies, John ORCID logoORCID: https://orcid.org/0000-0002-1326-4692 and Fletcher, M.;
  • Item type:Article
    ID code:59261
    Dates:
    Date
    Event
    31 May 2017
    Published
    10 January 2017
    Published Online
    29 December 2016
    Accepted
    19 January 2016
    Submitted
    Notes:© 2017 Elsevier Inc. All rights reserved. Richard Davies, Mary Fletcher, Andrew Marshall, Time-varying investment barriers and closed-end country fund pricing, Finance Research Letters, Volume 21, 2017, Pages 66-71, https://doi.org/10.1016/j.frl.2017.01.004
    Subjects:Social Sciences > Commerce > Accounting
    Social Sciences > Economic Theory
    Department:Strathclyde Business School > Accounting and Finance
    Depositing user: Pure Administrator
    Date deposited:05 Jan 2017 10:00
    Last modified:11 Nov 2024 11:35
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/59261
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