dc.contributor.advisor |
Lee, J |
en |
dc.contributor.advisor |
Berkman, H |
en |
dc.contributor.author |
Zhang, Weiyi |
en |
dc.date.accessioned |
2014-09-16T05:34:18Z |
en |
dc.date.issued |
2014 |
en |
dc.identifier.citation |
2014 |
en |
dc.identifier.uri |
http://hdl.handle.net/2292/22957 |
en |
dc.description |
Full text is available to authenticated members of The University of Auckland only. |
en |
dc.description.abstract |
This thesis investigates the closed-end fund puzzle in China. This thesis finds rational theories of the closed-end fund discount puzzle, such as fund shares and holding asset liquidity, fund past performance and fees, are important determinants of the fund premiums. Several of these attributes are measured by innovative proxies. For instance, fund past performance is measured by the information ratio or t-alpha, which is often used in hedge fund performance evaluation studies, and the Amihud illiquidity measure is employed to test the association between fund liquidity and premiums. In addition, we also find supporting evidence for irrational theories or sentiment theories. First, fund premiums reflect fund future performance, implying premiums may contain expectation component or, alternatively, sentiment component. Second, the association between changes in value weighted discount and small-cap stock returns is significant across all size-sorted portfolios, when the market is booming and the number of retail investors participating in the market is increasing. |
en |
dc.publisher |
ResearchSpace@Auckland |
en |
dc.relation.ispartof |
Masters Thesis - University of Auckland |
en |
dc.relation.isreferencedby |
UoA99264865412402091 |
en |
dc.rights |
Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. |
en |
dc.rights |
Restricted Item. Available to authenticated members of The University of Auckland. |
en |
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
en |
dc.rights.uri |
http://creativecommons.org/licenses/by-nc-sa/3.0/nz/ |
en |
dc.title |
The closed-end fund puzzle: evidence from China |
en |
dc.type |
Thesis |
en |
thesis.degree.discipline |
Finance |
en |
thesis.degree.grantor |
The University of Auckland |
en |
thesis.degree.level |
Masters |
en |
dc.rights.holder |
Copyright: The Author |
en |
pubs.elements-id |
456578 |
en |
pubs.record-created-at-source-date |
2014-09-16 |
en |
dc.identifier.wikidata |
Q112907840 |
|