What Determines the Discount of Closed-End Funds in the China Market?
This paper provides a comprehensive analysis of the determinants of the closed-end fund discount, using information obtained from quarterly portfolio announcement and annual reports. Results indicate that while the discount is positively related to industry concentration as proxied by the weighting of top 5 industry in the fund, it is negatively related to stock concentration as proxied by the weighting of top 10 stocks in the fund. This suggests that while an increase in stock concentration decreases the diversification benefit of the fund, it might also allow fund managers to use their stock picking ability so that the discount decreases with the level of stock concentration. We also find the discount increases with the value of restricted securities, decreases with the market capitalization of the fund and turnover, suggesting that liquidity is a main factor that affects the discount.
Closed-end fund Discounts Illiquidity Investment skill
Kalok Chan Hung Wan Kot Desmond Li
Department of Finance & Center for Fund Management The Hong Kong University of Science and Technolog Department of Finance Waikato Management School University of Waikato Private Bag 3105 Hamilton, New Quantitative Finance Department Thomas Ho Co. Ltd.
国际会议
昆明
英文
2005-07-05（万方平台首次上网日期，不代表论文的发表时间）