Show simple item record

dc.contributor.authorAdams, Andrew T
dc.date.accessioned2007-08-02T12:17:39Z
dc.date.available2007-08-02T12:17:39Z
dc.date.issued2000
dc.identifier.urihttp://hdl.handle.net/1842/1817
dc.description.abstractThe 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.extent133408 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.publisherManagement School and Economics. The University of Edinburghen
dc.relation.ispartofseriesCFMRen
dc.relation.ispartofseries00.03en
dc.subjectEconomicsen
dc.titleExcess Volatility and Investment trustsen
dc.typeWorking Paperen


Files in this item

This item appears in the following Collection(s)

Show simple item record