dc.contributor.author | Adams, Andrew T | |
dc.date.accessioned | 2007-08-02T12:17:39Z | |
dc.date.available | 2007-08-02T12:17:39Z | |
dc.date.issued | 2000 | |
dc.identifier.uri | http://hdl.handle.net/1842/1817 | |
dc.description.abstract | The variance of returns to investment trust shareholders may be split into three components - variance
of net asset value (NAV) returns, variance of discount returns and twice the covariance between NAV
returns and discount returns. Using historical data, the relative importance of each of these
components is estimated for different return intervals, different periods of observation and different
sub-sectors. There is clear evidence of excess volatility of trust share returns compared with NAV
returns. Since Big Bang in 1986, there has been a significant ‘double whammy’ effect, meaning that
discounts tend to widen when NAVs fall and narrow when NAVs rise. Overall, the results are
consistent with the noise trader model. | en |
dc.format.extent | 133408 bytes | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en | en |
dc.publisher | Management School and Economics. The University of Edinburgh | en |
dc.relation.ispartofseries | CFMR | en |
dc.relation.ispartofseries | 00.03 | en |
dc.subject | Economics | en |
dc.title | Excess Volatility and Investment trusts | en |
dc.type | Working Paper | en |