Η προβλεπτική ικανότητα της υπερτιμολόγησης/ υποτιμολόγησης των μετοχών κεφαλαίων κλειστού τύπου. Εμπειρική έρευνα στις Ευρωπαϊκές αγορές
View/
Keywords
Closed-end funds ; Net asset value ; Funding ; Mean reversion ; Excess volatility ; Common factor ; Predictive ability ; Over-sensitivity ; Noise trading ; Small investor ; Bank subsidiary ; Arbitrage ; Measurement error ; Market frictionAbstract
The purpose of the present thesis is the examination of the behavior of Closed-end Funds in four European markets. We used data for the markets of Belgium, Netherlands, France and Greece for the time period 2003-2015.
Our main article for this analysis is the working paper of Hardouvelis et al. (2004). Our main conclusions seem to be aligned with these of this paper for Greece, although any market shows its own specific characteristics. The predictive ability of the premium/discount is confirmed for specific markets.
The conclusions show that the volatility of NAV returns is strongly lower than the closed-end funds’ prices for all examined markets. In addition, NAV values present higher explanation capability using the market performance, in comparison with the closed-end funds prices.
Furthermore, the positive relationship with the premia with NAV returns and the negative ones with the future returns of the funds are confirmed. The results are similar for the examination for both bull & bear markets and volatility clustering periods.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
106Language
Greek
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές