This paper provides an analysis of the design and pricing of closed-end country funds (CECFs) under segmented capital markets, where an investment company acquires a set of eligible securities from the home country to form a CECF and issues shares to the residents of the host country. The key...

In this paper, we show (i) that the risk-return characteristics of our sample of 17 developed stock markets of the world have converged significantly toward each other during our study period 1974-2004, and (ii) that this international convergence in risk-return characteristics is driven mainly...

To the extent that investors diversify internationally, large-cap stocks receive the dominant share of fund allocation. Increasingly, however, returns to large-cap stocks or stock market indices tend to co-move, mitigating the benefits from international diversification. In contrast, stocks of...

We examine the contribution of cross-listings to price discovery for a sample of Canadian stocks listed on both the Toronto Stock Exchange (TSE) and a U.S. exchange. We find that prices on the TSE and U.S. exchange are cointegrated and mutually adjusting. The U.S. share of price discovery ranges...

We relate the performance of mutual fund trades to their motivation. A fund manager who buys stocks when there are heavy investor outflows is likely to be motivated by the belief that the stocks are significantly undervalued. In contrast, when there are heavy inflows the manager is likely to be...

We relate the performance of mutual fund trades to their motivation. A fund manager who buys stocks when there are heavy investor outflows is likely to be motivated by the belief that the stocks are significantly undervalued. In contrast, when there are heavy inflows, the manager is likely to be...

quot;Zero-investmentquot; strategies typically involve forming a long portfolio in one of a set of securities and a short portfolio in another, with the two identified by the use of some trading rule. When back-testing such strategies, the ex post difference in their abnormal returns represents...