Diversification, integration and emerging market closed-end funds

Article Abstract:

We study a new class unconditional and conditional mean-variance spanning tests that exploits the duality between Hansen-Jagannathan bounds (1991) and mean-standard deviation frontiers. The tests are shown to be equivalent to standard spanning tests in population, but we document substantial differences in the small sample performance of alternative tests. Our empirical application examines the diversification benefits from emerging equity markets using an extensive new data set on U.S. and U.K.-traded closed-end funds. We find significant diversification benefits for the U.K country funds, but not for the U.S. funds. The difference appears to relate to differences in portfolio holdings rather than to the behavior of premiums in the United States versus the United Kingdom. (Reprinted by permission of the publisher.)

Other Financial Vehicles, Investment offices, not elsewhere classified, Mutual Funds (Closed End), Investments, Portfolio management, Developing countries, Securities, Mutual funds, Closed end mutual funds

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The conditional performance of insider trades

Article Abstract:

This paper estimates the performance of insider trades on the closely held Oslo Stock Exchange (OSE) during a period of lax enforcement of insider trading regulations. Our data permit construction of a portfolio that tracks all movements of insiders in and out of the OSE firms. Using three alternative performance estimators in a time-varying expected return setting, we document zero or negative abnormal performance by insiders. The results are robust to a variety of trade characteristics. Applying the performance measures to mutual funds on the OSE, we also document some evidence that the average mutual fund outperforms the insider portfolio. (Reprinted by permission of the publisher.)

Insider trading in securities, Insider trading (Securities), Oslo Stock Exchange

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