Evaluating the performance of U.S. international equity closed-end funds

Fletcher, Jonathan (2021) Evaluating the performance of U.S. international equity closed-end funds. Journal of Multinational Financial Management, 60. 100692. ISSN 1042-444X (https://doi.org/10.1016/j.mulfin.2021.100692)

[thumbnail of Fletcher-JMFM-2021-Evaluating-the-performance-of-US-international-equity-closed-end-funds] Text. Filename: Fletcher_JMFM_2021_Evaluating_the_performance_of_US_international_equity_closed_end_funds.pdf
Accepted Author Manuscript
Restricted to Repository staff only until 17 April 2023.
License: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 logo
Download (494kB) | Request a copy

Abstract

This study examines whether clientele effects are important in the evaluation of the performance of U.S. international equity closed-end funds (CEF) using the best clientele (BC) performance measure of Chretien and Kammoun (2017), and alternative stochastic discount factor models based on global factor models. The study finds that clientele effects are important when evaluating the performance of international CEFs, as there are significant differences between the BC performance and performance using the global factor models. International CEF provide significant superior performance using the BC measure and neutral performance with the global factor models.

ORCID iDs

Fletcher, Jonathan ORCID logoORCID: https://orcid.org/0000-0003-0568-9145;
CORE (COnnecting REpositories)