Managerial performance and the cross-sectional pricing of closed-end funds
Article Abstract:
The market's evaluation of a closed-end stock fund's future performance has a direct influence on its current premium. This is proven using single and multiple benchmarks. It is also demonstrated that the relationship between future performance, as measured by net asset value (NAV) per share, and the current premium is not related to the anticipation of future expenses. Among closed-end bond funds, however, no link can be found between the premium and the market's assessment of future NAV performance.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1999
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Commonality in the determinants of expected stock returns
Article Abstract:
A study of expected stock returns in the US, the UK, Japan, Germany and France shows that the factors that determine differentials in predicted stock returns have a stable identity and influence across time periods and across countries. Results indicate that the realized return differences are not risk-related but may be attributed to market pricing bias. They also suggest that the Efficient Markets Hypothesis is flawed.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1996
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The pricing of convertible debt offerings
Article Abstract:
Data on a sample of 91 convertible debt offerings over 1988-1992 indicates a considerable amount of underpricing for the debt offerings. The convertible debt offerings had an average initial excess return of 1.11%, with almost 70% of excess returns positive. Further empirical analysis indicates that risk linked to convertible debt offerings has a pivotal function in accounting for the initial return.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1996
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