Do Derivative Instruments Play a Role in Performance Theory? The Turkish Closed-End Funds Case
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Date
2016
Authors
Pirgaip, Burak
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Abstract
Market prices of closed-end funds (CEF) deviate from their net asset values (NAV) which is known as “CEF puzzle”. I
attempt to show from the Turkish experience that CEF discounts/premia predict the corresponding CEF‟s future returns,
in the light of managerial performance theory. But derivatives facet of the subject matter has not been uncovered so far.
Therefore I hypothesize that performance of derivative user CEF are better estimators for discounts/premia than
non-users. I show a significant positive relation between CEF discounts/premia and future NAV performance. However,
this relation seems not to be more explicit for derivative user CEF than non-users
Description
Keywords
Closed-End Funds, Discount, Managerial Performance, Derivatives
Turkish CoHE Thesis Center URL
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Citation
Pirgaip, Burak. (2016). "Do Derivative Instruments Play a Role in Performance Theory?
The Turkish Closed-End Funds Case", Applied Economics and Finance, vol.3, No.2, pp.136-145.
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Source
Applied Economics and Finance
Volume
3
Issue
2
Start Page
136
End Page
145