Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed-End Mutual Funds

Laurence Copeland ()

Finance from University Library of Munich, Germany

Abstract: In a dataset of weekly observations over the period since 1990, the discount on UK closed-end mutual funds is shown to be nonstationary, but reverting to a nonzero long run mean. Although the long run discount could be explained by factors like management expenses etc., its short run ‡uctuations are harder to reconcile with an arbitrage-free equilibrium. In time series terms, they appear to exhibit heavily nonlinear behaviour, perhaps best represented by an Exponential Smooth- Transition Autoregressive (ESTAR) model.

Keywords: closed-end mutual funds; ESTAR; stationarity (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 48 pages
Date: 2005-04-07
Note: Type of Document - pdf; pages: 48
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https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0504/0504007.pdf (application/pdf)

Related works:
Working Paper: Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed-End Mutual Funds (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0504007

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