Title :
Speculation and Closed-End Fund Puzzle in Chinese Markets
Author :
Cao, Zhiguang ; Yang, Junmin
Author_Institution :
Sch. of Finance, Shanghai Univ. of Finance & Econ., Shanghai
Abstract :
A new approach has been proposed to give explanations to closed-end fund puzzle. The price of an asset can be decomposed into two parts: fundamental value and speculative value. Speculative value can be viewed as an American option value and comes from heterogeneous beliefs between investors. Generally, speculative value of trading closed- end funds is less than that of trading stocks, so discounts on closed-end fund NAVs occur. Empirical study shows that the new approach gives well explanations to closed-end fund puzzle in Chinese markets.
Keywords :
pricing; stock markets; American option value; Chinese markets; asset price; closed-end fund puzzle; fundamental value; speculative value; trading stocks; Costs; Decision support systems; Finance; Insurance; International trade; Performance gain; Signal to noise ratio;
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
Conference_Location :
Dalian
Print_ISBN :
978-1-4244-2107-7
Electronic_ISBN :
978-1-4244-2108-4
DOI :
10.1109/WiCom.2008.2389
