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Performance and performance persistence of UK closed-end equity funds

Listed author(s):
  • Bredin, Don
  • Cuthbertson, Keith
  • Nitzsche, Dirk
  • Thomas, Dylan C.

Using a comprehensive data set of almost 300 UK closed-end equity funds over the period 1990 to 2013, we use the false discovery rate to assess the alpha-performance of individual funds with both domestic and other mandates, using self-declared benchmarks and additional risk factors. We find evidence to indicate that up to 16% of the funds have truly positive alphas while around 3% have truly negative alphas. Positive post-formation alphas using fund-price returns depend on the factor model used: there is some positive-alpha performance when post-formation returns are evaluated using a one-factor global model but substantial positive-alpha performance when using a four-factor global model.

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File URL: http://www.sciencedirect.com/science/article/pii/S1057521914000830
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Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 34 (2014)
Issue (Month): C ()
Pages: 189-199

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Handle: RePEc:eee:finana:v:34:y:2014:i:c:p:189-199
DOI: 10.1016/j.irfa.2014.05.011
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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