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Net Asset Value (net + asset_value)
Selected AbstractsIs prior performance priced through closed-end fund discounts?INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 2 2010Michael Bleaney Abstract In open-end mutual funds (unit trusts), there is a strong positive cross-sectional relationship between net inflows to individual funds and past performance, as if investors attributed performance to managerial skill. Performance shows only very weak persistence, however, so at first sight investors do not appear to gain anything by responding to past performance information. This behaviour can be explained by the fact that past performance is effectively unpriced in the unit trust market, since management fees are unresponsive to demand. If investors believe that there is a non-zero probability that future performance will turn out to be positively correlated with past performance (i.e. that there is an element of managerial skill in performance), but a zero probability that this correlation will be negative, it is rational to prefer funds with better past performance when performance is not priced. In other words, it costs nothing to insure against the possibility of some managerial skill effect. If this explanation of the flow,performance relationship in unit trusts is correct, one would expect the relationship between investor demand and past fund performance to be much weaker if past performance were to be priced. We test this hypothesis in the market for closed-end funds (investment trusts). Because closed-end funds do not trade at net asset value, but at a price determined in the market, strong demand will raise the ratio of price to net asset value (known as the premium). Since it is well established that premiums are mean-reverting, future shareholder returns on funds currently on high premiums tend to be depressed by the reversion of the premium to the mean. In the closed-end fund market, as for open-end funds, there is little evidence of performance persistence, and therefore, to the extent that funds with good past performance are pushed to higher premiums, the expected return on them is less than on the average fund. This implicit pricing mechanism should mean that demand is a declining function of the premium, so that, even if demand is an increasing function of past performance for a given premium, any effect on the premium itself will be muted. We test this hypothesis for closed-end funds traded in the US and the UK. We find that there is a statistically significant effect of past performance on the premium in both countries. However, consistent with the hypothesis, it has limited economic significance, since it represents only a small component of premium variability. Copyright © 2008 John Wiley & Sons, Ltd. [source] The Impact of Standard Setting on Relevance and Reliability of Accounting Information: Lower of Cost or Market Accounting Reforms in ChinaJOURNAL OF INTERNATIONAL FINANCIAL MANAGEMENT & ACCOUNTING, Issue 3 2005Ziyun Yang During the period from 1998 to 2000, China implemented several new asset write-down regulations that mandate lower of cost or market accounting (LCM) for most non-cash assets. This is a study of the relevance and reliability of those regulations for investors in China. The study measures the association of net asset value with market value of equity and the association of accounting income with stock return, on both a historical cost accounting (HCA) basis and on an LCM basis. A fixed-effects model controlling both year and firm effects is used in a balanced panel sample. The panel regressions show high levels of explanatory power. LCM values can be relevant but may be measured with sufficient error that they do not improve the prediction of firm values. Reliability is measured using non-nested, overlapping model comparison tests (J and Cox). The paper also considers whether discretionary motivations influence the amount of write-down. The study supports the relevance of LCM reforms, but finds that reliability is not increased over HCA during the period under study. Reliability appears to be reduced by the voluntary nature of LCM provisions during part of the period and by the effects of opportunism for some firms in the sample. [source] Children's Economic Roles in the Maya Family Life Cycle: Cain, Caldwell, and Chayanov RevisitedPOPULATION AND DEVELOPMENT REVIEW, Issue 3 2002Ronald D. Lee This article examines the relationship between household demographic pressure and interage transfers for a group of Maya subsistence agriculturists in Yucatán, Mexico. The authors use data from a field study conducted in 1992,93 on individual time allocation, relative productivity by age and sex, and caloric costs of activities to estimate age schedules of average consumption and production. Using these, they investigate the net costs of children to their parents and find that children have a negative net asset value up to the time they leave home. The direction of net wealth flows in this group is downward, from older to younger, and in economic terms the internal rate of return to children is highly negative up to the time they leave home. Nonetheless, children play a critically important role in the family's economic life cycle. On average, girls offset 76 percent of their consumption costs before leaving home at age 19, and boys offset 82 percent before leaving home at 22. Without the contributions from children as a group, parents would have to double or triple their work effort during part of the family life cycle if they were to raise the same number of children. By the thirteenth year of the family life cycle, children as a group produce more than half of what they consume in every year, and after the twentieth year children produce more than 80 percent of what they as a group consume. The authors also find that the elderly in the sample, ages 50 to 65, produce more than they consume. Thus while children have a negative net asset value to parents, the timing of their children's economic contribution across the family life cycle plays a key role in underwriting the cost of large families. [source] Arbitrage, Liquidity, and the Valuation of Exchange Traded FundsFINANCIAL MARKETS, INSTITUTIONS & INSTRUMENTS, Issue 5 2008Lucy F. Ackert This paper investigates the performance of U.S. and country exchange traded funds currently traded in the United States and provides new insight into their pricing. While the U.S. funds are priced closely to their net asset values, the country funds are not and can exhibit large, positive autocorrelations in fund premium. The mispricing of country funds is related to momentum, illiquidity, and size effects. We also find an inverted U-shaped relationship between fund premium and market liquidity, which suggests that more active trading does lead to lower mispricing but only after a certain level of liquidity is reached. [source] | ||||||||||