Investment Companies’ Discount Fluctuation on the Swedish Market: A statistical analysis regarding different micro- and macroeconomic factors influence on Swedish closed-end funds’ discount
Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
Closed-end funds’ (CEF) discount and discount fluctuations have been puzzling researchers for decades. Up to date, there are no multidimensional or cross-sectional variables that have been proved to influence CEFs simultaneously. Fact is that, earlier research and theories on the subject are contradictious and several suggestions on the origin of the CEF’s discount and its fluctuations have been proposed. To mention a few, investor sentiments, taxation issues, dividend policies, agency costs and agency problems are considered to influence these discounts.
The purpose of this report is to examine the relationship between micro- and macroeconomic variables fluctuations, and how these can explain the discount fluctuation of the Swedish CEFs.
This report focuses upon the CEFs traded at NASDAQ OMX Stockholm, which have been selected through a comprehensive multistage selection process. 10 CEFs were selected. Monthly data for calculating micro- and macroeconomic variables was collected for the period March 2003 – February 2013, which resulted in approximately 1 200 observations. OLS regression analysis, Fixed- and Random Effect Models and Hausman tests were conducted.
The findings conclude that some of this report’s chosen micro- and macro variables influence on the Swedish CEFs’ discount fluctuation, although these findings are conditioned. The CEFs’ individual characteristics or traits result in a significant impact on the fluctuation of CEFs’ discount. Hence, only by controlling these characteristics, multidimensional or cross-sectional micro- and macroeconomic variables can be proved to affect the CEFs’ discount fluctuation.
Place, publisher, year, edition, pages
2013. , 76 p.
Swedish, closed-end fund(s), investment companies, discount, fluctuation, time-invariant characteristics, seasonal effects, CEF, fixed- and random effect model, Hausman test, OLS regression
Business Administration Economics
IdentifiersURN: urn:nbn:se:hj:diva-21250OAI: oai:DiVA.org:hj-21250DiVA: diva2:623748
Subject / course
IHH, Business Administration
2013-05-27, Jönköping International Business School, Jönköpin, 10:40 (English)
Eklund, Johan, PhD