Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed-End Mutual Funds
AbstractIn a dataset of weekly observations over the period since 1990, the discount on UK closed-end mutual funds is shown to be nonstationary, but reverting to a nonzero long run mean. Although the long run discount could be explained by factors like management expenses etc., its short run ‡uctuations are harder to reconcile with an arbitrage-free equilibrium. In time series terms, they appear to exhibit heavily nonlinear behaviour, perhaps best represented by an Exponential Smooth- Transition Autoregressive (ESTAR) model.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0504007.
Length: 48 pages
Date of creation: 07 Apr 2005
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Note: Type of Document - pdf; pages: 48
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closed-end mutual funds; ESTAR; stationarity;
Other versions of this item:
- Laurence Copeland, 2007. "Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed-End Mutual Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1-2), pages 313-330.
- Copeland, Laurence, 2006. "Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed-End Mutual Funds," Cardiff Economics Working Papers E2006/11, Cardiff University, Cardiff Business School, Economics Section.
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-16 (All new papers)
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- Christos Alexakis & Emmanouil Mavrakis, 2010. "Is Moderate Market Performance in the U.S. a Sufficient Condition for Abnormal Returns on CEFs?," International Advances in Economic Research, Springer, vol. 16(1), pages 80-95, February.
- Emmanouil Mavrakis, 2011. "Abnormal Returns on CEFs and in Pre-and-Post-Credit-Crunch Periods," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 55-70.
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