کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963330 930310 2006 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Performance comparison between exchange-traded funds and closed-end country funds
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Performance comparison between exchange-traded funds and closed-end country funds
چکیده انگلیسی
The objective of this study is to compare the risk and return performance of exchange-traded funds (ETFs) available for foreign markets and closed-end country funds. We utilize 29 closed-end country funds (CEFs) for 14 countries over the sample period from April 1996 to December 2001. The performance proxies are mean returns and risk-adjusted returns. Results indicate that ETFs exhibit higher mean returns and higher Sharpe ratios than foreign closed-end funds, while CEFs exhibit negative alphas. This indicates that a passive investment strategy utilizing ETFs may be superior to an active investment strategy using CEFs. The findings reported here offer some insight on the relative advantages of each type of investment. Specifically, there may be some potential for additional types of ETFs that offer higher risk-adjusted returns than closed-end funds. Such ETFs may be able to offer higher risk-adjusted returns as part of an internationally diversified portfolio.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 16, Issue 2, April 2006, Pages 104-122
نویسندگان
, , ,