SHERP

Closed-End Fund Puzzles and Value of Fund Manager's Private Information

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Authors
Shin, Jhinyoung
Issue Date
2001
Publisher
Seoul Journal of Economics
Citation
Seoul Journal of Economics 14 (No. 4 2001): 407-428
Keywords
Closed-end funds; Managerial Performance; trading profit; Management fee
Abstract
This paper presents a theoretical model of closed- end fund pricing within a multi-period framework in which the fee charged by the fund manager and investors expectation on the fund manager's future performance can explain some of the puzzles associated with closed-end fund prices. Closed-end fund can be regarded as a financial intermediary through which uninformed but rational traders invest in risky securities with the help of an informed fund manager. This paper shows that i) the closed-end fund starts at a premium but it is more likely to sell at discount at later periods, ii) the price and discount of closed-end fund are subject to greater fluctuation than the price of assets invested by the fund, and iii) liquidation decision depends on the size of discount as well as the cost associated with it..
ISSN
1225-0279
Language
English
URI
http://hdl.handle.net/10371/1255
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.14(4) (Winter 2001)
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