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Abnormal Returns on CEFs and in Pre-and-Post-Credit-Crunch Periods

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  • Emmanouil Mavrakis

Abstract

Compared to previous research, present work extends existing literature by considering if market performance, in Athens Stock Exchange, alternates the mean-reverting properties of Closed-end Funds’ discount and as a result affects potential realization of abnormal returns. Employing cointegration analysis, reported results indicate that, examining an equally weighted portfolio of funds, when market performance characterized as moderate, there is evidence suggesting market inefficiency while; during the recent turmoil period due to the credit crisis evidences do not indicate potential realization of abnormal returns. However, individual data examination gives mixed results.

Suggested Citation

  • Emmanouil Mavrakis, 2011. "Abnormal Returns on CEFs and in Pre-and-Post-Credit-Crunch Periods," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 55-70.
    • Handle: RePEc:ers:journl:v:xiv:y:2011:i:4:p:55-70
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    More about this item

    Keywords

    Close-end Funds’ Discount-based Strategies; Cointegration;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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