Evaluating the performance of U.S. international equity closed-end funds

Jonathan Fletcher

Journal of Multinational Financial Management, 2021, vol. 60, issue C

Abstract: This study examines whether clientele effects are important in the evaluation of the performance of U.S. international equity closed-end funds (CEF) using the best clientele (BC) performance measure of Chretien and Kammoun (2017), and alternative stochastic discount factor models based on global factor models. The study finds that clientele effects are important when evaluating the performance of international CEFs, as there are significant differences between the BC performance and performance using the global factor models. International CEF provide significant superior performance using the BC measure and neutral performance with the global factor models.

Keywords: Good-Deal performance; Closed-End funds; Global factor models (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000165

DOI: 10.1016/j.mulfin.2021.100692

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