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Discounts in Closed-End Funds - A Study on the Swedish Market

Hagman, Erik and Egerot, Robin (2011)
Department of Business Administration
Abstract
The thesis strives to use previous research as a basis to perform an up-to-date and relevant study about the CEF puzzle on the Stockholm stock exchange. Annual data for the whole population of Swedish CEFs will be studied over the time period 2006-2010. A multiple regression analysis will be executed in order to determine the impact of a number of explanatory variables on the CEF discounts. The regression performed did show significant impact on the CEF discounts for a number of explanatory variables: dividends, ownership concentration, fund age, and fund diversification. The results can be explained by financial theory in conjunction with the features of the Swedish CEF market. The Swedish population of CEFs is limited, why it could be of... (More)
The thesis strives to use previous research as a basis to perform an up-to-date and relevant study about the CEF puzzle on the Stockholm stock exchange. Annual data for the whole population of Swedish CEFs will be studied over the time period 2006-2010. A multiple regression analysis will be executed in order to determine the impact of a number of explanatory variables on the CEF discounts. The regression performed did show significant impact on the CEF discounts for a number of explanatory variables: dividends, ownership concentration, fund age, and fund diversification. The results can be explained by financial theory in conjunction with the features of the Swedish CEF market. The Swedish population of CEFs is limited, why it could be of interest to incorporate other Nordic markets in future research. (Less)
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author
Hagman, Erik and Egerot, Robin
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
CEF, discount, premium, efficient market hypothesis, investor sentiment, Management of enterprises, Företagsledning, management
language
Swedish
id
1978025
date added to LUP
2011-06-01
date last changed
2012-04-02 18:50:27
@misc{1978025,
  abstract     = {The thesis strives to use previous research as a basis to perform an up-to-date and relevant study about the CEF puzzle on the Stockholm stock exchange. Annual data for the whole population of Swedish CEFs will be studied over the time period 2006-2010. A multiple regression analysis will be executed in order to determine the impact of a number of explanatory variables on the CEF discounts. The regression performed did show significant impact on the CEF discounts for a number of explanatory variables: dividends, ownership concentration, fund age, and fund diversification. The results can be explained by financial theory in conjunction with the features of the Swedish CEF market. The Swedish population of CEFs is limited, why it could be of interest to incorporate other Nordic markets in future research.},
  author       = {Hagman, Erik and Egerot, Robin},
  keyword      = {CEF,discount,premium,efficient market hypothesis,investor sentiment,Management of enterprises,Företagsledning, management},
  language     = {swe},
  note         = {Student Paper},
  title        = {Discounts in Closed-End Funds - A Study on the Swedish Market},
  year         = {2011},
}