A closer look at trading strategies for U.S. equity closed-end investment companies

Authors

  • Seth C. Anderson Department of Accounting and Finance, University of North Florida, 4567 St. Johns Bluff Road, Jacksonville, FL 32224-2645, USA
  • B. Jay Coleman Department of Management, Marketing, and Logistics, University of North Florida, 4567 St. Johns Bluff Road, Jacksonville, FL 32224-2645, USA
  • Jeffery A. Born Department of Finance and Insurance, Northeastern University, Boston, MA 02115, USA

DOI:

https://doi.org/10.1016/S1057-0810(02)00093-8

Keywords:

Market efficiency, Trading strategies, Portfolio management, Closed-end fund discounts, Closed-end funds

Abstract

Earlier studies of U.S. closed-end investment companies ,(CEICs) examined whether the discount between CEIC price and net asset value could be exploited to gain excess returns. We advance these studies by investigating many more trading strategies and various transaction costs. We find that the role of the span between buy and sell trigger points is highly signi®cant in determining returns, and that transaction costs impact returns and mitigate the infuence of the trigger point span. Moreover, the 10 most successful strategies for each transaction cost level exhibit lower coefficients of variation than does the Standard & Poor's 500 ,(S&P 500) index. Copyright 2001 Elsevier Science Inc. All rights reserved.

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Published

2001-12-30

How to Cite

Anderson, S. C., Coleman, B. J., & Born, J. A. (2001). A closer look at trading strategies for U.S. equity closed-end investment companies. Financial Services Review, 10(1-4), 237–248. https://doi.org/10.1016/S1057-0810(02)00093-8

Issue

Vol. 10 No. 1-4 (2001): Financial Services Review

Section

New Original Submission

License

Copyright (c) 2001 Elsevier Science Inc.

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