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 metadata

  Item type:	Article
  ID code:	59261
  Dates:	Date Event 29 December 2016 Published 29 December 2016 Accepted
  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:	08 Apr 2024 23:19
  Related URLs:	Journal or Publication
  URI:	https://strathprints.strath.ac.uk/id/eprint/59261