haku: @journal_id 56 / yhteensä: 1032
viite: 17 / 1032
| Tekijä: | Agyei-Ampomah, S. Davies, J.R. |
| Otsikko: | Excess volatility and UK investment trusts |
| Lehti: | Journal of Business Finance and Accounting
2005 : JUN/JUL, VOL 32:5-6, p. 1033-1062 |
| Asiasana: | Financial markets Stock markets Securities Volatility Investment Policy Trading United Kingdom |
| Kieli: | eng |
| Tiivistelmä: | The issue of whether or not asset prices are more volatile than the underlying fundamentals is an empirical question with implications from market efficiency. Recent research suggests that the volatility (here as: vol-y.) of closed end fund returns (here as: rets.) in the USA is significantly higher than the rets. on assets held by the funds. This has been attributed to noise trading. This study demonstrates that U.K. investment trust rets. exhibit similar excess vol-y. despite the prevalence of institutional investors. However, big investment trusts in terms of market capitalization show greater excess vol-y. than small trusts. Although most of the excess vol-y. seems to be idiosyncratic, investor sentiment index is the most important variable associated with residual returns. |
SCIMA