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Evaluating the performance of U.S. international equity closed-end funds
Journal of Multinational Financial Management ( IF 4.482 ) Pub Date : 2021-04-17 , DOI: 10.1016/j.mulfin.2021.100692
Jonathan Fletcher

This study examines whether clientele effects are important in the evaluation of the performance of U.S. international equity closed-end funds (CEF) using the best clientele (BC) performance measure of Chretien and Kammoun (2017), and alternative stochastic discount factor models based on global factor models. The study finds that clientele effects are important when evaluating the performance of international CEFs, as there are significant differences between the BC performance and performance using the global factor models. International CEF provide significant superior performance using the BC measure and neutral performance with the global factor models.



中文翻译:

评估美国国际股票封闭式基金的表现

本研究使用 Chretien 和 Kammoun (2017) 的最佳客户 (BC) 绩效衡量标准,以及基于以下因素的替代随机折扣因子模型,检验客户效应在评估美国国际股票封闭式基金 (CEF) 的绩效时是否重要全局因子模型。研究发现,客户效应在评估国际 CEF 的表现时很重要,因为 BC 的表现与使用全球因素模型的表现之间存在显着差异。国际 CEF 使用 BC 度量和全球因子模型的中性性能提供显着的优越性能。

更新日期:2021-06-07
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