Closed-End Country Funds and U.S. Market Sentiment
AbstractClosed-end country funds can trade at large premiums and discounts from their foreign asset vales (NAVs). Investigating this anomaly, we find that individual fund premiums move together, primarily because of the comovement of their stock prices with the U.S. market. Moreover, an index of country fund premiums differentiates size-ranked U.S. portfolio returns and forecasts country fund stock returns. These findings suggest that international equity prices are affected by local risk. In particular, we show that country fund premium movements reflect a U.S specific risk, which may be interpreted as U.S. market sentiment. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Society for Financial Studies in its journal Review of Financial Studies.
Volume (Year): 8 (1995)
Issue (Month): 3 ()
Contact details of provider:
Postal: Oxford University Press, Journals Department, 2001 Evans Road, Cary, NC 27513 USA.
Web page: http://www.rfs.oupjournals.org/
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Kenneth A. Froot & Emil Dabora, 1998.
"How are Stock Prices Affected by the Location of Trade?,"
NBER Working Papers
6572, National Bureau of Economic Research, Inc.
- Froot, Kenneth A. & Dabora, Emil M., 1999. "How are stock prices affected by the location of trade?," Journal of Financial Economics, Elsevier, Elsevier, vol. 53(2), pages 189-216, August.
- Bleaney, Michael & Smith, R. Todd, 2006. "Explaining inertia in closed-end fund prices," Finance Research Letters, Elsevier, Elsevier, vol. 3(2), pages 147-153, June.
- Kenneth A. Froot & Tarun Ramadorai, 2001. "The Information Content of International Portfolio Flows," NBER Working Papers 8472, National Bureau of Economic Research, Inc.
- Peter Klibanoff & Owen Lamont & Thierry A. Wizman, 1996.
"Investor Reaction to Salient News in Closed-End Country Funds,"
NBER Working Papers
5588, National Bureau of Economic Research, Inc.
- Peter Klibanoff & Owen Lamont & Thierry A. Wizman, 1998. "Investor Reaction to Salient News in Closed-End Country Funds," Journal of Finance, American Finance Association, American Finance Association, vol. 53(2), pages 673-699, 04.
- Peter Klibanoff & Owen Lamont & Thierry A. Wizman, . "Investor Reaction to Salient News in Closed-End Country Funds," CRSP working papers 346, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Schmeling, Maik, 2006.
"Institutional and Individual Sentiment: Smart Money and Noise Trader Risk,"
Hannover Economic Papers (HEP), Leibniz UniversitÃ¤t Hannover, Wirtschaftswissenschaftliche FakultÃ¤t
dp-337, Leibniz UniversitÃ¤t Hannover, Wirtschaftswissenschaftliche FakultÃ¤t.
- Schmeling, Maik, 2007. "Institutional and individual sentiment: Smart money and noise trader risk?," International Journal of Forecasting, Elsevier, Elsevier, vol. 23(1), pages 127-145.
- Davies, Richard & Fletcher, Mary & Marshall, Andrew, 2013. "Investigating the role of illiquidity in explaining the UK closed-end country fund discount," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 121-130.
- Wang, Ming-Chieh, 2013. "Is there a reversal in the price discovery process under different market conditions? Evidence from Korean ADRs and their underlying foreign securities," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 21(1), pages 1160-1174.
- Chiuling Lu & Yiuman Tse & Michael Williams, 2013. "Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 40(2), pages 293-318, February.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011.
"How Sovereign Is Sovereign Credit Risk?,"
American Economic Journal: Macroeconomics,
American Economic Association, vol. 3(2), pages 75-103, April.
- Hans Dewachter & Kristien Smedts, 2004.
"Limits to International Arbitrage: an Empirical Evaluation,"
Center for Economic Studies - Discussion papers, Katholieke Universiteit Leuven, Centrum voor Economische StudiÃ«n
ces0401, Katholieke Universiteit Leuven, Centrum voor Economische StudiÃ«n.
- Hans Dewachter & Kristien Smedts, 2007. "Limits to international arbitrage: an empirical evaluation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 12(3), pages 273-285.
- Gikas Hardouvelis & Rafael La Porta & Thierry A. Wizman, 1994.
"What Moves the Discount on Country Equity Funds?,"
in: The Internationalization of Equity Markets, pages 345-403
National Bureau of Economic Research, Inc.
- Gikas A. Hardouvelis & Rafael La Porta & Thierry A. Wizman, 1993. "What moves the discount on country equity funds?," Research Paper 9324, Federal Reserve Bank of New York.
- Gikas A. Hardouvelis & Rafael La Porta & Thierry A. Wizman, 1993. "What Moves the Discount on Country Equity Funds?," NBER Working Papers 4571, National Bureau of Economic Research, Inc.
- Doseong Kim & Yoon-Goo Lee & Isabel Ruiz, 2010. "Common Volatility: An Empirical Investigation of Closed-End Country Funds," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 46(2), pages 116-132, March.
- Emmanuel Anoruo & Sanjay Ramchander & Harold Thiewes, 2003. "Cross-border linkages among Asian closed-end funds," Journal of Economics and Finance, Springer, Springer, vol. 27(3), pages 357-372, September.
- Wang, Xue & Yao, Lee J. & Fang, Victor, 2013. "Stock prices and the location of trade: Evidence from China-backed ADRs," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 677-688.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.