Managerial performance and the cross-sectional pricing of closed-end funds

被引：46

作者：

Chay, JB

Trzcinka, CA ^{[1
]}

机构：

[1] SUNY Buffalo, Buffalo, NY 14260 USA

[2] Univ Auckland, Auckland 1, New Zealand

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1999年 / 52卷 / 03期

关键词：

closed-end fund; discount; managerial performance;

D O I：

10.1016/S0304-405X(99)00013-6

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper finds that discounts and premiums of closed-end funds reflect the market's assessment of anticipated managerial performance. Using single and multiple bench-marks, we present evidence that there is a significant and positive relation between stock fund premiums and future net asset value performance over the following year. The relation is not caused by the anticipation of future expenses. We also find that bond closed-end funds show no such relation between premium and asset value performance. (C) 1999 Elsevier Science S.A. All rights reserved.

引用

页码：379 / 408

页数：30

共 11 条

[1] Performance persistence of closed-end funds
Elyasiani E.
Jia J.
Review of Quantitative Finance and Accounting, 2011, 37 (3) : 381 - 408
[2] Closed-End Funds: A Survey
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[3] Managerial skill and closed-end fund discounts
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[4] Are IPO investors rational? Evidence from closed-end funds
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[5] THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE
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[6] IS PRIOR PERFORMANCE PRICED THROUGH CLOSED-END FUND DISCOUNTS?
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[7] Pay-performance sensitivity and risk-taking behaviors: Evidence from closed-end funds
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EMERGING MARKETS REVIEW, 2016, 29 : 274 - 288
[8] Open-ending of closed-end funds in the CR:: Price and discount reaction -: Empirical evidence
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[9] Research on determinants of closed-end funds discounts in Chinese security market(ID: I-009)
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PROCEEDINGS OF THE 14TH INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT, VOLS A AND B: BUILDING CORE COMPETENCIES THROUGH IE&EM, 2007, : 912 - 917
[10] Fair value's effects on closed-end funds' discounts and premia: is level 3 the sole perpetrator?
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MANAGERIAL FINANCE, 2020, 46 (08) : 1001 - 1022

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