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Deviations from fundamental value and future closed-end country fund returns

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dc.contributor.authorBerggrun, Luisspa
dc.contributor.authorCardona, Emiliospa
dc.contributor.authorLizarzaburu Bolaños, Edmundo R.spa
dc.contributor.orcidBerggrun, Luis [0000-0002-8489-0818]
dc.contributor.orcidLizarzaburu Bolaños, Edmundo R. [0000-0002-8862-5624]
dc.contributor.scopusBerggrun, Luis [37057140100]
dc.contributor.scopusCardona, Emilio [57069944700]
dc.contributor.scopusLizarzaburu Bolaños, Edmundo R. [55617076500]
dc.date.accessioned2023-06-21T22:22:59Z
dc.date.available2023-06-21T22:22:59Z
dc.date.issued2021-12-14
dc.description.abstractenglishPurpose This article examines whether deviations from fundamental value or closed-end country fund's discounts or premiums forecast future share price returns or net asset returns. Design/methodology/approach The main empirical (econometric) tool is a vector autoregressive (VAR) model. The authors model share price returns and net asset returns as a function of their lagged values, the discounts or premiums, and a control variable for local market returns. The authors also conduct Dickey Fuller and Granger causality tests as well as impulse response functions. Findings It was found that deviations from fundamental value do predict share price returns. This predictability is contrary to weak-form market efficiency. Premiums or discounts predict net asset returns but weakly. Originality/value The findings point to the idea that the closed-end fund market is somewhat predictable and inefficient (in its weak form) since the market appears to be able to anticipate a fund's future returns using information contained in the premiums (or discounts). In particular, the market has the ability to anticipate future behaviour because growing premiums forecast declining share price returns for one or two periods ahead.eng
dc.description.orcidhttps://orcid.org/0000-0002-8489-0818
dc.description.orcidhttps://orcid.org/0000-0002-8862-5624
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=37057140100
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=57069944700
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=55617076500
dc.identifier.doihttps://doi.org/10.1108/JEFAS-04-2021-0035
dc.identifier.eissn2218-0648
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.identifier.urihttp://hdl.handle.net/10726/5044
dc.language.isoeng
dc.publisherEmerald Publishing Limited
dc.relation.citationendpage236
dc.relation.citationissue52
dc.relation.citationstartpage222
dc.relation.citationvolume26
dc.relation.ispartofjournalJournal of Economics, Finance and Administrative Science
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.rights.coarhttp://purl.org/coar/access_right/c_abf2
dc.rights.localAbierto (Texto Completo)
dc.subject.proposalClosed-end fund
dc.subject.proposalDiscount
dc.subject.proposalPremium
dc.subject.proposalPuzzle
dc.subject.proposalVector autoregressive models
dc.titleDeviations from fundamental value and future closed-end country fund returnseng
dc.typearticle
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.versioninfo:eu-repo/semantics/acceptedVersion

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