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 have tested a linear Gaussian state space model and the kalman filter in testing ARMA(2,3) models of the natural logarithmic monthly market returns of the US 1838 bond debenture closed-end fund. The aim is to estimate expectations that arises from the interaction of...

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,...

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...

In this article, we test a linear Gaussian space model and the Kalman filter ARMA(1,3) model to estimate logarithmic monthly returns of US corporate bonds. The purpose of this article is to estimate expectations that arise from the interaction of arbitrageurs and noise traders. An arbitrageur...

This article examines the performance persistence of 12083 open-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. Nineteen out of the forty-three categories showed high values of the Treynor,...

We used the entire population of 12083 US open - end funds to test performance persistence in different time periods. We bootstrapped on the monthly returns over successive years over the whole period starting from 01/01/2010 to 01/01/2020. The dataset was obtained from Wiesenberger...

This article examines the performance persistence of 15534 variable annuities funds over the period January 2010 to January 2020. We use a population free from survivorship self-selection and backfill bias and measure performance using risk adjusted measures. The data was obtained from...

We check for performance persistence of variable annuities funds in terms of both market price returns and net asset value average returns in each category. In addition, we use regression models to test market timing ability. We use the entire population of 15534 variable annuities funds over...

This article examines performance persistence using a sample of 15534 US variable annuities funds from the period 2010 to 2020. This is the first study that examines US variable annuities attached to mutual funds that are composed from stocks, bonds, and cash. Performance persistence in the...