Risk, Managerial Skill and Closed-End Fund Discounts

Michael Bleaney and Richard Smith

Discussion Papers from University of Nottingham, School of Economics

Abstract: Empirical evidence from the UK market is brought to bear on recent theories of closed-end fund discounts. Market pricing of skill, relative to the fees charged for it, accounts for a significant portion of discount variation, but cannot explain the rarity of index funds or why they trade at a discount. Index funds have lower discount volatility. Discount risk is much more systematic on international than on domestic funds. It is argued that even idiosyncratic risk is priced in closed-end funds, because they are likely to represent a significant proportion of investors’ risky portfolios.

Keywords: Closed-end fund; fund management; systematic risk (search for similar items in EconPapers)
Date: 2008-10
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.nottingham.ac.uk/economics/documents/discussion-papers/08-10.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:not:notecp:08/10

Access Statistics for this paper

More papers in Discussion Papers from University of Nottingham, School of Economics School of Economics University of Nottingham University Park Nottingham NG7 2RD. Contact information at EDIRC.
Bibliographic data for series maintained by ().