Do Derivative Instruments Play a Role in Performance Theory? The Turkish Closed-End Funds Case

Burak Pirgaip

Applied Economics and Finance, 2016, vol. 3, issue 2, 136-145

Abstract: Market prices of closed-end funds (CEF) deviate from their net asset values (NAV) which is known as ¡°CEF puzzle¡±. I attempt to show from the Turkish experience that CEF discounts/premia predict the corresponding CEF¡¯s future returns, in the light of managerial performance theory. But derivatives facet of the subject matter has not been uncovered so far. Therefore I hypothesize that performance of derivative user CEF are better estimators for discounts/premia than non-users. I show a significant positive relation between CEF discounts/premia and future NAV performance. However, this relation seems not to be more explicit for derivative user CEF than non-users.

Keywords: Closed-end funds; discount; managerial performance; derivatives (search for similar items in EconPapers)
Date: 2016
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