This article provides an explanation of the fluctuations and persistence of excess discount return in the UK and the US. On average, Guirguis six - factor model can explain 67% of the variation in the excess discount return in the UK market by taking into consideration the market effect, size,...

Investment trusts or closed-end funds are known for the discount problem that arises within a few months. Specifically, According to Weiss (1989), shares in US funds are issued at a premium to net asset value, NAV, of up to 10 per cent. This premium represents the underwriting fees and start-up...

We analyze the implied volatility smile of a lognormal distribution on a on a 6 – month EUR/USD call currency option contract using the ratio of strike and share price. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not...

This article focuses on the importance of the traditional theories for the existence of the discount in relation to agency costs namely management performance. The argument that discounts reflect the quality of the management has been investigated in the past but the results were inconclusive....

In this article, we extend the three-factor of Fama and French’s (1993) model in order to explain the existence and persistence of the excess discount return. We added two more factors to these four risk measures namely market, size, book-to-market, and momentum. The first one is based on the...

In this article, we examine how event driven hedge funds performance is affected by risks in terms of bid ask spreads, settlement risk, short squeeze risk and financing risk. The fund manager primarily is targeting financial, micro and macro economic or political events, corporate events that...

Overestimation and Underestimation psychological paradigms, which constitute the two main theories, were the main building blocks of advances in Behavioral Finance. These two theories were added to explain noise trader risk, which is added to the fundamental risk that arbitrageur’s are facing....

In this article, we estimate Lamda in matlab to calculate the leverage return of 3 months call and put options implied volatility by comparing the theoretical price with the market price of a Danish investment bank. There is significant time variation in the implied volatility and the...

This article examines US closed-end funds using a sample of 603 closed-end funds from the period 2010 to 2020. The sample is free of survivorship bias. We find evidence of long-term managerial positive persistence. Performance is measured by Jensen’s alpha based on regression models such as...

This article examines the performance persistence of 603 closed-end funds over the period January 2010 to January 2020. We used a sample free of survivorship bias and measure performance using risk adjusted measures. Ten out of the twenty three categories showed high values of the Treynor,...