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Cross-Sectional Variation in Investment Trust Discount Volatility

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CFMR_982.pdf (81.65Kb)
Date
1998
Author
Adams, Andrew T
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Abstract
Discount volatility is generally an important component of total risk for closed-end funds but there is considerable cross-sectional variation in the magnitude of this discount volatility. These are interesting aspects of the closed-end fund discount puzzle which have received little attention in the literature, particularly as regards UK investment trusts. This paper seeks to explain the cross-sectional variation in discount volatility for the UK investment trust sector. The sample consists of 59 UK conventional investment trusts in continuous operation over the five years from 1 January 1992 to 31 December 1996. Discount volatility is calculated using monthly intervals. Four explanatory variables are highly significant - trust share turnover, standard deviation of NAV return, market value and percentage of underlying assets which are unquoted. There is no evidence that either small investor sentiment or UK specific sentiment has any impact on discount volatility.
URI
http://hdl.handle.net/1842/1860
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  • Business and Management Research Publications

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