First Empirical Results

Abstract

For the empirical implementation of our pricing model we choose to select a broad market sample of emerging market closed-end funds.1 The sample examined in this study exists of closed-end equity funds for a complete five year period from January 1993 to December 1997. All NYSE traded closed-end funds are included, if their date of issue lies before January 1993 in order to avoid post-offering pricing effects.2 The data is collected on a weekly basis to yield a multiple time-series of 33 closed-end funds with 260 observations each. The market prices are obtained from the last trade on Fridays, and the net asset values are calculated by the funds on Thursdays balances. However, the net asset values are reported on Fridays after the NYSE closes which makes trading on the basis of these prices impossible, but are treated as being observed contemporaneously with the market prices.3 Finally, the share prices and net asset values are adjusted for distributions including income dividends and capital gains. In table 5.1 we report the figures for the total returns and their correlation along with the net proceeds and the date of the initial public offering (IPO) of the funds.KeywordsMarket PriceInitial Publie OfferingValuation ModelValuation FormulaVolatility TermThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.