By Tarun Ramadorai
Abstract
Rational theories of the closed-end fund premium puzzle highlight fund share and asset illiquidity, managerial ability and compensation, and fees as important determinants of the premium. Several of these attributes are difficult to measure for mutual funds, and easier to measure for hedge funds. This paper employs new data from a secondary market for hedge funds, discovers a closed hedge fund premium which is highly correlated over time with the closed-end mutual fund premium, and shows that the closed hedge fund premium is well-explained by variables suggested by the rational theories. Sentiment-based explanations do not find support in the data.
This paper is forthcoming in the Journal of Finance.
Finance Focus
Hedge Fund Tweets
Practical Portfolio Performance Measurement and Attribution, with CD-ROM, 2nd Edition
Carl R. Bacon
Complete with a CD containing worked examples for the majority of exhibits, the book covers the mathematical aspects of the topic in an accessible and practical way, making this book an essential reference for anyone involved in asset management.
ISBN: 9780470059289 - 16-May-08 - £60.00
