search query: @author Schobel, R. / total: 2
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| Author: | Kellerhals, B. P. Schobel, R. |
| Title: | The dynamic behavior of closed-end funds and its implication for pricing, forecasting, and trading |
| Journal: | Journal of Banking and Finance
2002 : AUG, VOL. 26:8, p. 1615-1644 |
| Index terms: | PRICES RISK ANALYSIS FORECASTING PORTFOLIO MANAGEMENT |
| Language: | eng |
| Abstract: | Closed-end funds (CEFs) show a distinctive feature in comparison to mutual funds: The market value determined on organized exchanges dynamically differs over time from the reported net asset value by a discount. This predominant capital market anomaly motivates the authors' valuation model to price CEFs. The authors derive a stochastic pricing model that captures both the price risk of the funds as well as their risk associated wit altering discounts. Implementing this theoretical model on a sample of emerging market closed-end funds the authors are able to infer insights into two potential applications for investors. First, the authors test the forecasting power of the pricing model to predict CEF market prices. Second, based on information on the premia the authors implement portfolio trading strategies. |
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