An empirical examination of the diversification benefits of UK international equity closed-end funds

被引：3
|
作者：
Fletcher, Jonathan [1 ]
机构：
[1] Univ Strathclyde, Dept Accounting & Finance, Stenhouse Wing,199 Cathedral St, Glasgow G4 0QU, Lanark, Scotland
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2018年 / 55卷
关键词：
Diversification benefits; Bayesian analysis; Closed-end funds; MEAN-VARIANCE; NAIVE DIVERSIFICATION; TRANSACTION COSTS; CONSTRAINTS; PERFORMANCE; PREDICTABILITY; PORTFOLIOS; EFFICIENCY; FRICTIONS; RETURNS;
D O I：
10.1016/j.irfa.2017.10.010
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
I use the Bayesian approach of Wang (1998) to examine the diversification benefits of international equity U.K. closed-end funds (CEF) in the presence of market frictions. No short selling constraints substantially reduce, and in some cases eliminate the diversification benefits of CEF. However, adjusting for higher trading costs in the benchmark assets, the diversification benefits of the funds are significant. The paper also finds that when comparing to the international equity exchange-traded funds (ETF), that both groups of funds are necessary to maximize the benefits of international diversification.
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页码：23 / 34
页数：12
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