Abstract
This paper evaluates the respective impacts of investor protection on the R 2 and systematic risk of closed-end country funds (CECFs). The empirical results reveal that both the R 2 and systematic risk of CECFs of those countries with English legal origin are significantly lower than those of countries with French or German origin. Moreover, we demonstrate that the CECFs of those countries with better investor protection indices tend to have lower price synchronicity and lower systematic risk. Finally, our findings imply that the investor protection index also plays a risk assessment role, particularly with regard to the systematic risk of CECFs.
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