CLOSED-END FUND BETAS

The CAPM can explain closed-end fund (CEF) discounts as a consequence of the higherbetas on CEF shares than on their underlying portfolios. The difference in betas is muchgreater for international funds and for bond funds than for domestic equity funds. CEFshares carry both more idiosyncratic risk (usually) and more systematic risk than theirportfolios, and also exhibit excess volatility...

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Year of publication:	2006-03-01
Authors:	Bleaney, Michael F. ; Smith, Richard Todd
Institutions:	University <Nottingham> / Department of Economics
Subject:	Capital-Asset-Pricing-Modell \| Portfoliomanagement \| portfolio management \| Investor

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Extent:	106496 bytes 19 p. application/pdf
Series:	The University of Nottingham / School of Economics - discussion papers Discussion PaperNo. 06/04
Type of publication:	Book / Working Paper
Language:	English
ISSN:	1360-2438
Classification:	G12 - Asset Pricing ; Financial theory ; Procurement of capital ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005868664