Anomalies: Closed-End Mutual Funds
نویسندگان
چکیده
منابع مشابه
Performance Evaluation of Closed Ended Mutual Funds in Pakistan
Mutual funds are the best tool to mobilize savings and investments in an economy and Pakistan is the pioneer in South Asia, but this industry is not as much mature in comparison to its age in Pakistan. This paper examines the performance of closed ended mutual funds in Pakistan by using five different ranking measures during a period of January 2009 to December 2013 and the sample consists of o...
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Arbitrage pressures that could equalize closed-end fund share prices with fund portfolio values appear to be largely absent in an extensive data set. Observed fund behavior violates the static arbitrage bounds of Gemmill & Thomas (2002) and is inconsistent with the dynamic arbitrage bounds of Pontiff (1996). Furthermore, Fama & French (1992) regressions run on arbitrage portfolios designed to p...
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In a dataset of weekly observations over the period since 1990, the discount on UK closed-end mutual funds is shown to be nonstationary, but reverting to a nonzero long run mean. Although the long run discount could be explained by factors like management expenses etc., its short run uctuations are harder to reconcile with an arbitrage-free equilibrium. In time series terms, there is evidence ...
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In this study, we examine three issues related to the accrual and the net operating assets (NOA) anomalies. First, whether mutual funds trade on these anomalies. Second whether they are able to generate profits, net of transaction costs. Third, the reasons why such profits are not completely exploited. Prior studies provide evidence on the first issue by examining the trading behavior of instit...
متن کاملperformance evaluation of closed ended mutual funds in pakistan
mutual funds are the best tool to mobilize savings and investments in an economy and pakistan is the pioneer in south asia, but this industry is not as much mature in comparison to its age in pakistan. this paper examines the performance of closed ended mutual funds in pakistan by using five different ranking measures during a period of january 2009 to december 2013 and the sample consists of o...
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ژورنال
عنوان ژورنال: Journal of Economic Perspectives
سال: 1990
ISSN: 0895-3309
DOI: 10.1257/jep.4.4.153