International investment restrictions and closed-end country fund prices

Article Abstract:

Some closed-end country funds trade at large premiums relative to their net asset values. This paper examines whether international investment restrictions raise country fund price-net asset value ratios by segmenting international capital markets. We test whether a relation exists between announcements of changes in investment restrictions and changes in these ratios using weekly data from May 1981 to January 1989. The results provide evidence that some foreign markets are at least partially segmented from the US capital market. (Reprinted by permission of the publisher.)

Foreign investments, Laws, regulations and rules, Prices and rates, Mutual funds

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Stability of the U.S. short-run money demand function, 1959-81

Article Abstract:

Switch regression techniques are applied to the short-run U.S. money demand function, using the 'Deterministic Switching Based on Time' version. The method of estimation used provides for the identification of the shift point and the type of shift (abrupt or drift), and is conducive to hypothesis testing to determine the sources of the shift for the regression equation. It is concluded that the U.S. short-run money demand function is contaminated. The findings do not support the contention that the 1974 shift is a downward shift in the constant term.

United States, Analysis, Finance, United States economic conditions, Money supply

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Short Sales Restrictions and Kings on the Mean Variance Frontier

Article Abstract:

Conventional theory and Ross' theory of the existence or non-exisience of links along the mean-variance frontier are tested. Links are found to occur rarely. They may occur, however, at switching points.

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