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Managerial Performance and Closed‐End Country Fund Premiums: A Lead or Lag Relationship?

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  • IULIANA ISMAILESCU
  • BEN BRANCH

Abstract

Herein, we examine whether changes in closed-end country fund premiums lead and/or lag management performance. Using a sample of 46 country funds and a time period of 11 years, we find evidence of a significant negative relationship between past performance and current fund premiums, but no support for the hypothesis that past premiums are indicative of future performance. Furthermore, the above results are driven primarily by the emerging market funds. The difference between emerging market and developed market fund premiums' response to past performance, although less obvious, continues to hold in the crises period, but vanishes in the tranquil period.

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  • Iuliana Ismailescu & Ben Branch, 2010. "Managerial Performance and Closed‐End Country Fund Premiums: A Lead or Lag Relationship?," International Review of Finance, International Review of Finance Ltd., vol. 10(4), pages 433-453, December.
  • Handle: RePEc:bla:irvfin:v:10:y:2010:i:4:p:433-453
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    File URL: http://hdl.handle.net/10.1111/j.1468-2443.2010.01107.x
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