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

21 Pages Posted: 17 Nov 2010

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

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Abstract

Herein, we examine 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 crises period, but vanishes in the tranquil period.

Suggested Citation

Ismailescu, Iuliana and Branch, Ben S., Managerial Performance and Closed-End Country Fund Premiums: A Lead or Lag Relationship?. International Review of Finance, Vol. 10, No. 4, pp. 433-453, December 2010, Available at SSRN: https://ssrn.com/abstract=1710339 or http://dx.doi.org/10.1111/j.1468-2443.2010.01107.x

Iuliana Ismailescu (Contact Author)

Pace University - Lubin School of Business ( email )

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Ben S. Branch

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

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