COUNTRY FUND PREMIUMS, MARKET SEGMENTATION, AND INVESTOR SENTIMENT

摘要

This paper explores the interesting problem of why closed-end country funds trade at a premium or discount. It reports on a study of forty-one country funds over a thirteen-year period. The empirical analysis of this large data set reveals that changes in exchange rates and interest rate differentials explain a substantial portion of country fund premiums. This finding suggests that market segmentation and the resulting difference in the rational valuation of cash flows significantly influence country fund premiums. Investor sentiment is also found to be an influence.