Managerial Performance and Closed-End Country Fund Premiums: A Lead or Lag Relationship?

International Review of Finance, Forthcoming

Pace University Finance Research Paper No. 2009/11

31 Pages Posted: 1 Nov 2009 Last revised: 4 Sep 2019

See all articles by Iuliana Ismailescu

Iuliana Ismailescu

Pace University - Lubin School of Business

Ben S. Branch

University of Massachusetts Amherst - Isenberg School of Management

Multiple version iconThere are 3 versions of this paper

Date Written: January 25, 2009

Abstract

This study examines whether changes in closed-end country fund premiums lead and/or lag management performance. Using a sample of 46 country funds and a time period of 11 years we find evidence of a significant negative relationship between past performance and current fund premiums, but no support for the hypothesis that past premiums are indicative of future performance. Furthermore, the above results are driven primarily by the emerging market funds. The difference between emerging market and developed market fund premiums’ response to past performance, although less obvious, continues to hold in the crisis period, but vanishes in the tranquil period.

Keywords: closed-end funds, international finance, emerging markets, portfolio management

Suggested Citation

Ismailescu, Iuliana and Branch, Ben S., Managerial Performance and Closed-End Country Fund Premiums: A Lead or Lag Relationship? (January 25, 2009). International Review of Finance, Forthcoming, Pace University Finance Research Paper No. 2009/11, Available at SSRN: https://ssrn.com/abstract=1462379

Iuliana Ismailescu (Contact Author)

Pace University - Lubin School of Business ( email )

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212-618-6524 (Phone)

Ben S. Branch

University of Massachusetts Amherst - Isenberg School of Management ( email )

Room 201A
Amherst, MA 01003-4910
United States
413-545-5690 (Phone)
413-545-3858 (Fax)

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