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Do Derivative Instruments Play a Role in Performance Theory? The Turkish Closed-End Funds Case

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  • Burak Pirgaip

Abstract

Market prices of closed-end funds (CEF) deviate from their net asset values (NAV) which is known as ¡°CEF puzzle¡±. I attempt to show from the Turkish experience that CEF discounts/premia predict the corresponding CEF¡¯s future returns, in the light of managerial performance theory. But derivatives facet of the subject matter has not been uncovered so far. Therefore I hypothesize that performance of derivative user CEF are better estimators for discounts/premia than non-users. I show a significant positive relation between CEF discounts/premia and future NAV performance. However, this relation seems not to be more explicit for derivative user CEF than non-users.

Suggested Citation

  • Burak Pirgaip, 2016. "Do Derivative Instruments Play a Role in Performance Theory? The Turkish Closed-End Funds Case," Applied Economics and Finance, Redfame publishing, vol. 3(2), pages 136-145, May.
    • Handle: RePEc:rfa:aefjnl:v:3:y:2016:i:2:p:136-145
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    More about this item

    Keywords

    Closed-end funds; discount; managerial performance; derivatives;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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