The Information Content of Single Country Closed-End Fund Discounts

Kallenos, Theodosis L.; Makris, Andreas K.; Nishiotis, George

doi:10.2139/ssrn.883632

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The Information Content of Single Country Closed-End Fund Discounts

47 Pages Posted: 23 Feb 2006 Last revised: 17 Nov 2019

See all articles by Theodosis L. Kallenos

Theodosis L. Kallenos

University of Cyprus-School of Economics and Management- Department of Accounting and Finance

George Nishiotis

University of Cyprus-Faculty of Economics and Management-Department of Accounting and Finance

Date Written: November 15, 2019

Abstract

Using monthly data from 1996 to 2018 for the universe of single country closed-end funds, we study the information content of fund discounts/premiums. Unlike previous studies, we find that discounts/premiums forecast both share price (SP) and net asset value (NAV) returns. Additional tests show that the fund discounts/premiums contain information about future macroeconomic factors of their corresponding countries. We also find a strong association between expectations of future macroeconomic conditions and the difference in NAV and SP returns. Our results provide direct evidence for the presence of fundamental information in closed-end country fund discounts/premiums, consistent with international capital market segmentation.

Keywords: Closed-end funds, Emerging markets, Capital market segmentation, Investor sentiment

JEL Classification: G15, G14

Suggested Citation: Suggested Citation

Kallenos, Theodosis L. and Makris, Andreas K. and Nishiotis, George P., The Information Content of Single Country Closed-End Fund Discounts (November 15, 2019). Available at SSRN: https://ssrn.com/abstract=883632 or http://dx.doi.org/10.2139/ssrn.883632