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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.