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CLOSED-END FUND BETAS

Michael Bleaney and Richard Smith ()

Discussion Papers from University of Nottingham, School of Economics

Abstract: The CAPM can explain closed-end fund (CEF) discounts as a consequence of the higher betas on CEF shares than on their underlying portfolios. The difference in betas is much greater for international funds and for bond funds than for domestic equity funds. CEF shares carry both more idiosyncratic risk (usually) and more systematic risk than their portfolios, and also exhibit excess volatility. The difference in betas reflects the sensitivity of CEF price returns to market returns, after controlling for portfolio returns. The influence of home market returns on international fund prices is particularly marked in UK funds.

Date: 2006-04
New Economics Papers: this item is included in nep-cfn, nep-fin, nep-fmk and nep-rmg
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:not:notecp:06/04

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