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https://scholarbank.nus.edu.sg/handle/10635/147922
DC Field | Value | |
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dc.title | EXCESS VOLATILITY ANDCLOSED?END FUNDS | |
dc.contributor.author | ZHANG JIAQI | |
dc.date.accessioned | 2018-10-01T04:32:32Z | |
dc.date.available | 2018-10-01T04:32:32Z | |
dc.date.issued | 2011 | |
dc.identifier.citation | ZHANG JIAQI (2011). EXCESS VOLATILITY ANDCLOSED?END FUNDS. ScholarBank@NUS Repository. | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/147922 | |
dc.description.abstract | This paper proposes that NAV signalling and heterogeneous beliefs are possible causes for excess volatility observed in closed-end funds. Specifically, when the underlying NAV signal is uncertain, learning among investors is inhibited and dispersion of beliefs persists despite repeat signalling. Volatility of closed-end fund shares is then amplified when investors attempt to relate individual estimates to observed equilibrium price. Using log variance ratio as a measure of excess volatility, the paper shows that better information signals reduce excess volatility observed in closed-end funds; and that measures of heterogeneous beliefs affect the magnitude of excess volatility. Lastly higher excess volatility is shown to be compensated with higher fund returns. | |
dc.type | Thesis | |
dc.contributor.department | NUS Business School | |
dc.description.degree | Bachelor's | |
dc.description.degreeconferred | BACHELOR OF BUSINESS ADMINISTRATION WITH HONOURS | |
Appears in Collections: | Bachelor's Theses |
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