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Evaluating the performance of U.S. international equity closed-end funds

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  • Fletcher, Jonathan

Abstract

This study examines whether clientele effects are important in the evaluation of the performance of U.S. international equity closed-end funds (CEF) using the best clientele (BC) performance measure of Chretien and Kammoun (2017), and alternative stochastic discount factor models based on global factor models. The study finds that clientele effects are important when evaluating the performance of international CEFs, as there are significant differences between the BC performance and performance using the global factor models. International CEF provide significant superior performance using the BC measure and neutral performance with the global factor models.

Suggested Citation

  • Fletcher, Jonathan, 2021. "Evaluating the performance of U.S. international equity closed-end funds," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
    • Handle: RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000165
    DOI: 10.1016/j.mulfin.2021.100692
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    More about this item

    Keywords

    Good-Deal performance; Closed-End funds; Global factor models;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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