The pricing of emerging market country funds

摘要: This paper provides an analysis of the equilibrium pricing closed-end country funds (CECFs) from emerging and nascent markets under condition segmented capital markets, where investment company acquires a set eligible securities home to form CECF issues shares residents host country. The key findings are: First, fund will trade at its net asset value (zero premium), mimicking open-end status, if as much differential ‘substitution’ demand for them between investors. substitution is shown represent by investors when they do not face supply restrictions. Second, command higher premium, more close substitute market portfolio country, risk-averse are collectively. Third, basic functional premium robust inclusion freely tradable securities. However, would additionally depend on spanning ability