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Performance and performance persistence of UK closed-end equity funds

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  • Bredin, Don
  • Cuthbertson, Keith
  • Nitzsche, Dirk
  • Thomas, Dylan C.

Abstract

Using a comprehensive data set of almost 300 UK closed-end equity funds over the period 1990 to 2013, we use the false discovery rate to assess the alpha-performance of individual funds with both domestic and other mandates, using self-declared benchmarks and additional risk factors. We find evidence to indicate that up to 16% of the funds have truly positive alphas while around 3% have truly negative alphas. Positive post-formation alphas using fund-price returns depend on the factor model used: there is some positive-alpha performance when post-formation returns are evaluated using a one-factor global model but substantial positive-alpha performance when using a four-factor global model.

Suggested Citation

  • Bredin, Don & Cuthbertson, Keith & Nitzsche, Dirk & Thomas, Dylan C., 2014. "Performance and performance persistence of UK closed-end equity funds," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 189-199.
    • Handle: RePEc:eee:finana:v:34:y:2014:i:c:p:189-199
    DOI: 10.1016/j.irfa.2014.05.011
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    2. Davies, Richard & Fletcher, Mary & Marshall, Andrew, 2017. "Time-varying investment barriers and closed-end country fund pricing," Finance Research Letters, Elsevier, vol. 21(C), pages 66-71.
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    More about this item

    Keywords

    Closed-end funds; Performance; False discovery rate;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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