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題名 Two essays of the information impact on the valuation of closed-end funds
作者 廖憲文
Liao,Hsien-wen
貢獻者 張元晨
Chang,Yuanchen
廖憲文
Liao,Hsien-wen
關鍵詞 封閉基金
訊息效果
closed-end fund
information
investors` sentiment
日期 2004
上傳時間 17-Sep-2009 19:09:15 (UTC+8)
摘要 本論文分為兩部分，第一部份為以台灣之封閉型基金探討訊息事件下之投資者敏感性與市場效率性。第二部份為以東南亞六家國家基金探討投資者過渡反應之現象同時研究訊息分類後之訊息效果。
This dissertation studies investors’ sentiment to dramatic public information events and the news effect on the valuation of closed-end funds. There are two main issues included in this dissertation. For the issue of investors’ sentiment, we employ domestic closed-end funds from Taiwan to test how political information events affect fund share price and net asset value. The political information events employed are the 1996 and 2000 presidential elections in Taiwan, including prominent political events ahead of the elections. For the other issue of news effect on the valuation of closed-end country funds, the six Asian country funds listed on the New York Stock Exchange are employed and the country-specific news are culled from the headlines shown on the front page of The New York Times.
For investors’ sentiment, we examine how dramatic political news and events affect closed-end fund data, fund price, and net asset value, using a sample of Taiwan data. We use data from Taiwan, because its stock market has been repeatedly affected by political events. We develop a theoretical model to show how information shocks would affect the discounts on closed-end funds. In designing the model, which is tested below, we start by assuming that the information shock is consistent with market efficiency. Our empirical results show that, even though this assumption is corroborated by three out of four events, the remaining one event in four induces changes which are inconsistent with market efficiency. This provides support for the theory of the preponderance of investors’ sentiment. The results also show that the return on fund share prices and the return of net asset value (NAV) move in the same direction and the impact of information shocks to the return of fund share price and return of NAV have mostly the same sign. Although the results from domestic funds, with fund share prices and NAV that are valued in the identical market, tell us that there exists investors’ sentiment, we intend to resolve what the information effects are on the valuation of closed-end country funds that have fund share prices and NAV valued in two different entities/markets.
We use a sample of six Asian country funds, listed on the New York Stock Exchange, to test whether salient country-specific news affects investors’ reaction around the Asian financial crisis period. Our results show that in regular weeks, fund share prices react less to changes in fundamentals. In weeks with salient news appearing on the front page of The New York Times, fund share prices react much more than those in regular weeks. We also find that economic news affects the adjustment process of fund share prices more significantly before and during the Asian financial crisis periods. These results are consistent with the hypothesis that news events play a role in the magnitude of investors’ reaction to changes in the fundamental values of closed-end country funds. As to the reaction of volume to news, the results show that news effect is significant in full sample period. For the reaction of volume to categorized news, economic news is significant in full sample period.
In sum, the results from either domestic funds or country funds all show that news events/information do play a role in individual investors’ sentiment. The phenomenon is more conspicuous during a financial crisis period.
參考文獻 I. 中文部分
1.許溪南及呂鴻德，民國89年，封閉型基金與開放型基金相對績效之研究-新績效評估指標，交大管理學報，第二十卷第一期，頁71-102。
2.闕河士，民國90年，散戶心理對報酬率、價格波動性和交易活動的影響，輔仁管理評論，第八卷第一期，頁117-142。
II. In English
1. Abraham, Abraham, Don Elan, and A. J. Marcus, 1993, Does sentiment explain closed-end fund discounts: evidence from bond funds, The Financial Review 28, 607-616.
2. Andersen Torben G. and Tim Bollerslev, 1998, Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies, The Journal of Finance 53:1, 219-265.
3. Bennett, J. Andrea, 2002, Closed-end country fund discounts and systematic UK and US market movements: co-integration and error corrected Granger causality tests, Managerial Finance 28:1, 73-92.
4. Berry, T. T. and K. M. Howe, 1994, Public information arrival, The Journal of Finance 49, 1331-1346.
5. Bodurtha, J., E. Kim and C. Lee, 1995, Closed-end country funds and US market sentiment, Review of Financial Studies 8, 879-918.
6. Boudreaux, K. J., 1973, Discounts and premiums on closed-end mutual funds: a study in valuation, The Journal of Finance 28, 515-522.
7. Burch, T. R., Douglas R. Emery and Michael E. Fuerst, 2003, What can “Nine-Eleven” tell us about closed-end fund discounts and investor sentiment? The Financial Review 38, 515-529.
8. Chan, Y., Andy C. W. Chui and Chuck C. Y. Kwok, 2001, The impact of salient political and economic news on the trading activity, Pacific-Basin Finance Journal 9, 195-217.
9. Chan, Y. and K. C. J. Wei, 1996, Political risk and stock price volatility: The case of Hong Kong, Pacific-Basin Finance Journal 4, 259-275.
10. Chay, Jong-Bom and C. Trzcinka, 1999, Managerial performance and the cross-sectional pricing of closed-end funds, Journal of Financial Economics 52, 379-408.
11. Chen, Li-Wen, Shane A. Johnson, Ji-Chai Lin, and Yu-Jane Liu, 2004, Foreigh investors and profit opportunities in open-ending closed-end funds in Taiwan, Working Paper, presented in 2004 FMA Annual Meeting at New Orleans, U.S.A.
12. Ciccotello, C. S. and T. Grant, 1996, Information pricing: the evidence from equity mutual funds, The Financial Review 31-2, 365-380.
13. De Long, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann, 1990, Noise trader risk in financial markets, Journal of Political Economy 98, 703-738.
14. Dimson, Elroy and Carolina Minio-kozerski, 1999, Closed-end funds: a survey, Financial Markets, Institutions & Instruments, Vol. 8, No. 2, 1-41.
15. Ederington, L. H. and J. H. Lee., 1993, How markets process information: News releases and Volatiltiy, The Journal of Finance 48, 1161-1191.
16. Enders, Walter, 1995, Applies Econometric Time Series, John Wiley & Sons, Inc.
17. Fair R. C., 2000, Events that shook the market, Journal of Business 75-4, 713-731.
18. Fama, E., 1970, Efficient capital markets: a review of theory and empirical work, The Journal of Finance 25, 383-417.
19. Fleming, M. J. and E. M. Remoolona, 1999, Price formation and liquidity in the US treasury market: the response to public information, The Journal of Finance 54, 1901-1915.
20. Frankel, Jeffrey and S. L. Schmukler,1996, Country fund discounts, asymmetric information, and the Mexican crisis of December 1994: Did local residents turn pessimistic before international investors?, Working paper 5714, NBER.
21. Frankel, Jeffrey, and S. L. Schmukler, 2000, Country funds and asymmetric information, International Journal of Finance and Economics 5-3, 177-195.
22. Gehrig, Thomas, 1993, An information based explanation of the domestic bias in international equity investment, Scandinavian Journal of Economics 9, 97-109.
23. Gemmill, G., 1992, Political risk and market efficiency: tests based in British stock and options markets in the 1987 election, Journal of Banking and Finance 16, 211-231.
24. Gemmill, G. and Dylan C. Thomas, 2002, Noise-trading, costly arbitrage, and asset prices: evidence from closed end funds, The Journal of Finance 57-6, 2571-2594.
25. Granger, C. W. J., 1969, Investigating causal relations by econometric models and cross-spectral models, Econometrica 37, 424-438.
26. Greene, William H., 2000, Econometric Analysis, Prentice-Hall, Inc (New Jersey).
27. Grundy, B. D., and Youngsoo Kim, 2002, Stock market volatility in a heterogeneous information economy, Journal of Financial and Quantitative Analysis 37-1, 1-27.
28. Hardouvelis, Gikas, Rafael LaPorta, and Thierry A. Wizman, 1994, What moves the discount on closed-end country funds?, in Jeffrey Frankel, ed.: The Inter-
nationalization of Equity Markets (University of Chicago Press, Chicago, I11).
29. Hsiao, C., 1986, Analysis of Panel Data, Cambridge: Cambridge University Press.
30. Johnson, Timothy C., 2002, Rational momentum effects, The Journal of Finance 57-2, 585-608.
31. Kaminsky G. L. and S. L. Schmukler, 1999, What triggers market jitters? A chronicle of the Asian crisis, Journal of International Money and Finance, 537-560.
32. Kim, H. Y. and J. Mei, 2001, What makes the stock market jump? An analysis of political risk on stock returns, Journal of International Money and Finance 20-7, 1003-1016.
33. Klibanoff, Peter, O. Lamont, and T. A. Wizman, 1998, Investor reaction to salient news in closed-end country funds, The Journal of Finance 53, 673-699.
34. Kumar, Raman and G. M. Noronha, 1992, A re-examination of the relationship between closed-end fund discounts and expenses, Journal of Financial Research 15, 139-147.
35. Lee, Bong-Soo and Gwangheon Hong, 2002, On the dual characteristics of closed-end country funds, Journal of International Money and Finance 21, 589-618.
36. Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler, 1990, Anomalies: closed-end mutual funds, Journal of Economic Perspectives Vol. 4, No. 4, 153-164.
37. Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler, 1991, Investor sentiment and the closed-end fund puzzle, The Journal of Finance 46, 75-109.
38. Lee, Jason and Cheong H Yi, 2001, Trade size and information-motivated trading in the options and stock markets, Journal of Financial and Quantitative Analysis 36-4, 485-501.
39. Levy-Yeyati and Angel Ubide, 2000, Crised, Contagion, and the closed-end country fund puzzle, IMF Staff Papers, Vol. 47, No. 1, 54-89.
40. Malkiel, Burton G., 1977, The valuation of closed-end investment-company shares, The Journal of Finance 32, 847-858.
41. Mitchell, M. L. and J. H. Mulherin, 1994, The impact of public information on the stock market, The Journal of Finance 49, 923-950.
42. Pan, M. S., K. C. Chan and David J. Wright, 2001, Divergent expectations and the Asia financial crisis of 1997, Journal of Financial Research, Vol. 24, No. 2, 219-238.
43. Pearce, D. K. and Vance V. Roley, 1985, Stock prices and economic news, The Journal of Business 58-1, 49-67.
44. Pontiff, Jeffrey, 1997, Excess volatility and closed-end funds, American Economic Review 87, 115-169.
45. Tong, Xin-da, 2004, The application of skewness-adjusted t-statistic and VaR adjusted Jensen index to the returns of high-turnover mutual funds in Taiwan, unpublished thesis, Shih Chien University.
46. Weiss, Kathleen, 1989, The post-offering price performance of closed-end funds, Financial Management Autumn, 57-67.
47. Zweig, Martin E., 1973, An investor expectations stock price predictive model using closed-end fund premiums, The Journal of Finance 28, 67-78.
描述 博士
國立政治大學
財務管理研究所
89357504
93
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0089357504
資料類型 thesis
dc.contributor.advisor 張元晨zh_TW
dc.contributor.advisor Chang,Yuanchenen_US
dc.contributor.author (Authors) 廖憲文zh_TW
dc.contributor.author (Authors) Liao,Hsien-wenen_US
dc.creator (作者) 廖憲文zh_TW
dc.creator (作者) Liao,Hsien-wenen_US
dc.date (日期) 2004en_US
dc.date.accessioned 17-Sep-2009 19:09:15 (UTC+8)-
dc.date.available 17-Sep-2009 19:09:15 (UTC+8)-
dc.date.issued (上傳時間) 17-Sep-2009 19:09:15 (UTC+8)-
dc.identifier (Other Identifiers) G0089357504en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34029-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 89357504zh_TW
dc.description (描述) 93zh_TW
dc.description.abstract (摘要) 本論文分為兩部分，第一部份為以台灣之封閉型基金探討訊息事件下之投資者敏感性與市場效率性。第二部份為以東南亞六家國家基金探討投資者過渡反應之現象同時研究訊息分類後之訊息效果。zh_TW
dc.description.abstract (摘要) This dissertation studies investors’ sentiment to dramatic public information events and the news effect on the valuation of closed-end funds. There are two main issues included in this dissertation. For the issue of investors’ sentiment, we employ domestic closed-end funds from Taiwan to test how political information events affect fund share price and net asset value. The political information events employed are the 1996 and 2000 presidential elections in Taiwan, including prominent political events ahead of the elections. For the other issue of news effect on the valuation of closed-end country funds, the six Asian country funds listed on the New York Stock Exchange are employed and the country-specific news are culled from the headlines shown on the front page of The New York Times.
For investors’ sentiment, we examine how dramatic political news and events affect closed-end fund data, fund price, and net asset value, using a sample of Taiwan data. We use data from Taiwan, because its stock market has been repeatedly affected by political events. We develop a theoretical model to show how information shocks would affect the discounts on closed-end funds. In designing the model, which is tested below, we start by assuming that the information shock is consistent with market efficiency. Our empirical results show that, even though this assumption is corroborated by three out of four events, the remaining one event in four induces changes which are inconsistent with market efficiency. This provides support for the theory of the preponderance of investors’ sentiment. The results also show that the return on fund share prices and the return of net asset value (NAV) move in the same direction and the impact of information shocks to the return of fund share price and return of NAV have mostly the same sign. Although the results from domestic funds, with fund share prices and NAV that are valued in the identical market, tell us that there exists investors’ sentiment, we intend to resolve what the information effects are on the valuation of closed-end country funds that have fund share prices and NAV valued in two different entities/markets.
We use a sample of six Asian country funds, listed on the New York Stock Exchange, to test whether salient country-specific news affects investors’ reaction around the Asian financial crisis period. Our results show that in regular weeks, fund share prices react less to changes in fundamentals. In weeks with salient news appearing on the front page of The New York Times, fund share prices react much more than those in regular weeks. We also find that economic news affects the adjustment process of fund share prices more significantly before and during the Asian financial crisis periods. These results are consistent with the hypothesis that news events play a role in the magnitude of investors’ reaction to changes in the fundamental values of closed-end country funds. As to the reaction of volume to news, the results show that news effect is significant in full sample period. For the reaction of volume to categorized news, economic news is significant in full sample period.
In sum, the results from either domestic funds or country funds all show that news events/information do play a role in individual investors’ sentiment. The phenomenon is more conspicuous during a financial crisis period.		en_US
dc.description.tableofcontents CHAPTER ONE Introduction ……………………………….…………….………1
CHAPTER TWO The Impact of Political Information on Fundamental Value and Market Value: Evidence from Taiwan’s Closed-end Funds …………………………………………………...…..…..7
2.1 Introduction ………………………………………………………….……...7
2.2 The Theory of Market Efficiency and Investors’ Sentiment ……….……. .10
2.3 Theoretical Model: The Effect of Information Shocks ………….….…......15
2.4 Data and Methodology ……………………………………………….……22
2.4.1 The sample of funds ………………………………………….………22
2.4.2 The news events ………………………….…………….……...……...23
2.4.3 Setting up testable hypotheses …………………….………….…....…25
2.5 Empirical Results and Discussions ……………………..….………..........…27
2.5.1 Summary statistics …………………………………….………...........27
2.5.2 Preliminary results of the information effect to NAV and FSP ……...28
2.5.3 The relation between NAV and FSP …….………………..…….…….30
2.5.4 The information effects on return of NAV and Return of FSP .....…...33
2.6 Summary Remark …………………………………………………….……38
CHAPTER THREE News Effects on the Valuation of Closed-end Country Funds: Evidence around the Asian Financial Crisis Period ….…..53
3.1 Introduction ………………………………………………………………..53
3.2 Literature Review ………………………………………………………….54
3.2.1 The effects of news arrivals on the valuation of asset prices ………..54
3.2.2 Closed-end fund and investors’ reactions to news arrivals ……...…..55
3.3 Data and Methodology …………………………………........…………….57
3.3.1 Data description ………....………………………....…........…..........57
3.3.2 News events …………………………………………...….…...…….59
3.3.3 Research methodology ……………….………...………...……...….60
3.4 Empirical Results and Discussions ………………………...………...……61
3.4.1 Results of OLS regressions of FSP’s reaction
on the changes of NAV…………………………………………........62
3.4.2 News effects on the underreaction of FSP
for the full sample period …………………………………………….63
3.4.3 News effects on the underreaction of FSP
around the Asian financial crisis period ……....……...……………...64
3.4.4 Different categorized news effects
for the full sample period ………………………………………….....65
3.4.5 Different categorized news effects
around the Asian financial crisis period …………………....…...…...66
3.4.6 The reaction of fund share volume to news .........................................67
3.5 Summary Remark ……………………………………………………….....68
CHAPTER FOUR Conclusion …………………………………………………….83
REFERENCES ……………………………………………………………………….88
APPENDIX A …………………………………………………………………………93
APPENDIX B …………………………………………………………………………94
APPENDIX C …………………………………………………………………………95		zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0089357504en_US
dc.subject (關鍵詞) 封閉基金zh_TW
dc.subject (關鍵詞) 訊息效果zh_TW
dc.subject (關鍵詞) closed-end funden_US
dc.subject (關鍵詞) informationen_US
dc.subject (關鍵詞) investors` sentimenten_US
dc.title (題名) Two essays of the information impact on the valuation of closed-end fundszh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) I. 中文部分zh_TW
dc.relation.reference (參考文獻) 1.許溪南及呂鴻德，民國89年，封閉型基金與開放型基金相對績效之研究-新績效評估指標，交大管理學報，第二十卷第一期，頁71-102。zh_TW
dc.relation.reference (參考文獻) 2.闕河士，民國90年，散戶心理對報酬率、價格波動性和交易活動的影響，輔仁管理評論，第八卷第一期，頁117-142。zh_TW
dc.relation.reference (參考文獻) II. In Englishzh_TW
dc.relation.reference (參考文獻) 1. Abraham, Abraham, Don Elan, and A. J. Marcus, 1993, Does sentiment explain closed-end fund discounts: evidence from bond funds, The Financial Review 28, 607-616.zh_TW
dc.relation.reference (參考文獻) 2. Andersen Torben G. and Tim Bollerslev, 1998, Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies, The Journal of Finance 53:1, 219-265.zh_TW
dc.relation.reference (參考文獻) 3. Bennett, J. Andrea, 2002, Closed-end country fund discounts and systematic UK and US market movements: co-integration and error corrected Granger causality tests, Managerial Finance 28:1, 73-92.zh_TW
dc.relation.reference (參考文獻) 4. Berry, T. T. and K. M. Howe, 1994, Public information arrival, The Journal of Finance 49, 1331-1346.zh_TW
dc.relation.reference (參考文獻) 5. Bodurtha, J., E. Kim and C. Lee, 1995, Closed-end country funds and US market sentiment, Review of Financial Studies 8, 879-918.zh_TW
dc.relation.reference (參考文獻) 6. Boudreaux, K. J., 1973, Discounts and premiums on closed-end mutual funds: a study in valuation, The Journal of Finance 28, 515-522.zh_TW
dc.relation.reference (參考文獻) 7. Burch, T. R., Douglas R. Emery and Michael E. Fuerst, 2003, What can “Nine-Eleven” tell us about closed-end fund discounts and investor sentiment? The Financial Review 38, 515-529.zh_TW
dc.relation.reference (參考文獻) 8. Chan, Y., Andy C. W. Chui and Chuck C. Y. Kwok, 2001, The impact of salient political and economic news on the trading activity, Pacific-Basin Finance Journal 9, 195-217.zh_TW
dc.relation.reference (參考文獻) 9. Chan, Y. and K. C. J. Wei, 1996, Political risk and stock price volatility: The case of Hong Kong, Pacific-Basin Finance Journal 4, 259-275.zh_TW
dc.relation.reference (參考文獻) 10. Chay, Jong-Bom and C. Trzcinka, 1999, Managerial performance and the cross-sectional pricing of closed-end funds, Journal of Financial Economics 52, 379-408.zh_TW
dc.relation.reference (參考文獻) 11. Chen, Li-Wen, Shane A. Johnson, Ji-Chai Lin, and Yu-Jane Liu, 2004, Foreigh investors and profit opportunities in open-ending closed-end funds in Taiwan, Working Paper, presented in 2004 FMA Annual Meeting at New Orleans, U.S.A.zh_TW
dc.relation.reference (參考文獻) 12. Ciccotello, C. S. and T. Grant, 1996, Information pricing: the evidence from equity mutual funds, The Financial Review 31-2, 365-380.zh_TW
dc.relation.reference (參考文獻) 13. De Long, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann, 1990, Noise trader risk in financial markets, Journal of Political Economy 98, 703-738.zh_TW
dc.relation.reference (參考文獻) 14. Dimson, Elroy and Carolina Minio-kozerski, 1999, Closed-end funds: a survey, Financial Markets, Institutions & Instruments, Vol. 8, No. 2, 1-41.zh_TW
dc.relation.reference (參考文獻) 15. Ederington, L. H. and J. H. Lee., 1993, How markets process information: News releases and Volatiltiy, The Journal of Finance 48, 1161-1191.zh_TW
dc.relation.reference (參考文獻) 16. Enders, Walter, 1995, Applies Econometric Time Series, John Wiley & Sons, Inc.zh_TW
dc.relation.reference (參考文獻) 17. Fair R. C., 2000, Events that shook the market, Journal of Business 75-4, 713-731.zh_TW
dc.relation.reference (參考文獻) 18. Fama, E., 1970, Efficient capital markets: a review of theory and empirical work, The Journal of Finance 25, 383-417.zh_TW
dc.relation.reference (參考文獻) 19. Fleming, M. J. and E. M. Remoolona, 1999, Price formation and liquidity in the US treasury market: the response to public information, The Journal of Finance 54, 1901-1915.zh_TW
dc.relation.reference (參考文獻) 20. Frankel, Jeffrey and S. L. Schmukler,1996, Country fund discounts, asymmetric information, and the Mexican crisis of December 1994: Did local residents turn pessimistic before international investors?, Working paper 5714, NBER.zh_TW
dc.relation.reference (參考文獻) 21. Frankel, Jeffrey, and S. L. Schmukler, 2000, Country funds and asymmetric information, International Journal of Finance and Economics 5-3, 177-195.zh_TW
dc.relation.reference (參考文獻) 22. Gehrig, Thomas, 1993, An information based explanation of the domestic bias in international equity investment, Scandinavian Journal of Economics 9, 97-109.zh_TW
dc.relation.reference (參考文獻) 23. Gemmill, G., 1992, Political risk and market efficiency: tests based in British stock and options markets in the 1987 election, Journal of Banking and Finance 16, 211-231.zh_TW
dc.relation.reference (參考文獻) 24. Gemmill, G. and Dylan C. Thomas, 2002, Noise-trading, costly arbitrage, and asset prices: evidence from closed end funds, The Journal of Finance 57-6, 2571-2594.zh_TW
dc.relation.reference (參考文獻) 25. Granger, C. W. J., 1969, Investigating causal relations by econometric models and cross-spectral models, Econometrica 37, 424-438.zh_TW
dc.relation.reference (參考文獻) 26. Greene, William H., 2000, Econometric Analysis, Prentice-Hall, Inc (New Jersey).zh_TW
dc.relation.reference (參考文獻) 27. Grundy, B. D., and Youngsoo Kim, 2002, Stock market volatility in a heterogeneous information economy, Journal of Financial and Quantitative Analysis 37-1, 1-27.zh_TW
dc.relation.reference (參考文獻) 28. Hardouvelis, Gikas, Rafael LaPorta, and Thierry A. Wizman, 1994, What moves the discount on closed-end country funds?, in Jeffrey Frankel, ed.: The Inter-zh_TW
dc.relation.reference (參考文獻) nationalization of Equity Markets (University of Chicago Press, Chicago, I11).zh_TW
dc.relation.reference (參考文獻) 29. Hsiao, C., 1986, Analysis of Panel Data, Cambridge: Cambridge University Press.zh_TW
dc.relation.reference (參考文獻) 30. Johnson, Timothy C., 2002, Rational momentum effects, The Journal of Finance 57-2, 585-608.zh_TW
dc.relation.reference (參考文獻) 31. Kaminsky G. L. and S. L. Schmukler, 1999, What triggers market jitters? A chronicle of the Asian crisis, Journal of International Money and Finance, 537-560.zh_TW
dc.relation.reference (參考文獻) 32. Kim, H. Y. and J. Mei, 2001, What makes the stock market jump? An analysis of political risk on stock returns, Journal of International Money and Finance 20-7, 1003-1016.zh_TW
dc.relation.reference (參考文獻) 33. Klibanoff, Peter, O. Lamont, and T. A. Wizman, 1998, Investor reaction to salient news in closed-end country funds, The Journal of Finance 53, 673-699.zh_TW
dc.relation.reference (參考文獻) 34. Kumar, Raman and G. M. Noronha, 1992, A re-examination of the relationship between closed-end fund discounts and expenses, Journal of Financial Research 15, 139-147.zh_TW
dc.relation.reference (參考文獻) 35. Lee, Bong-Soo and Gwangheon Hong, 2002, On the dual characteristics of closed-end country funds, Journal of International Money and Finance 21, 589-618.zh_TW
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