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Greek Closed-End Fund Premia: Differences and Similarities with US Premia and Their Implications

Author

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  • Hardouvelis, Gikas A
  • Tsiritakis, Emmanuel D

Abstract

The prices of Greek closed-end funds behave similarly to the prices of US funds: they deviate substantially from their net asset values (NAVs); they are more volatile than their NAVs; and they are overly-sensitive to the movements of the domestic stock market index. Furthermore, their premia are: (i) positively correlated cross-sectionally; (ii) positively correlated with the future NAV returns; and (iii) negatively correlated with the future returns on the funds. Yet most Greek funds are subsidiaries of banks that have considerable influence on their pricing, whereas US funds are owned mainly by small investors. Future explanations to the closed-end fund puzzle should, therefore, transcend the narrow institutional characteristics of asset composition and ownership of US closed-end funds.

Suggested Citation

  • Hardouvelis, Gikas A & Tsiritakis, Emmanuel D, 1996. "Greek Closed-End Fund Premia: Differences and Similarities with US Premia and Their Implications," CEPR Discussion Papers 1406, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:1406
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    Citations

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    Cited by:

    1. Güner, Z. Nuray & Önder, Zeynep, 2022. "Bank affiliation and discounts on closed-end funds," International Review of Financial Analysis, Elsevier, vol. 83(C).
    2. Stylianos X. Koufadakis, 2016. "Mispricing Explanations of Closed-End Funds: A Survey Review," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 66(1-2), pages 108-135, January-J.
    3. Stylianos X. Koufadakis, 2015. "Asymmetries on Closed End Country Funds Premium and Monetary Policy Announcements: An Approach Trough the Perspective of Foreign Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(3-4), pages 29-65, july-Dece.

    More about this item

    Keywords

    Arbitrage; Bank Subsidiary; Closed-End Fund; Common Factor; Excess Volatility; Fund Discount; Fund Premium; Market Friction; Mean Reversion; Measurement Error; Net Asset Value; Noise Trading; Over-senstivity; Predictive Ability; Small Investor;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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