Abnormal Returns on CEFs and in Pre-and-Post-Credit-Crunch Periods

Emmanouil Mavrakis

European Research Studies Journal, 2011, vol. XIV, issue 4, 55-70

Abstract: Compared to previous research, present work extends existing literature by considering if market performance, in Athens Stock Exchange, alternates the mean-reverting properties of Closed-end Funds’ discount and as a result affects potential realization of abnormal returns. Employing cointegration analysis, reported results indicate that, examining an equally weighted portfolio of funds, when market performance characterized as moderate, there is evidence suggesting market inefficiency while; during the recent turmoil period due to the credit crisis evidences do not indicate potential realization of abnormal returns. However, individual data examination gives mixed results.

Keywords: Close-end Funds’ Discount-based Strategies; Cointegration (search for similar items in EconPapers)
JEL-codes: C32 G11 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.ersj.eu/repec/ers/papers/11_4_p4.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ers:journl:v:xiv:y:2011:i:4:p:55-70

Access Statistics for this article

More articles in European Research Studies Journal from European Research Studies Journal
Bibliographic data for series maintained by Marios Agiomavritis ().