Title

Relevance of Currency Exposure in the Valuation of Single Country Closed-End Funds

Document Type

Article

Publication Date

Spring 2001

Abstract

The relevance of currency translation exposure on the valuation of single country closed end funds (SCCEFs) is examined, using net asset values (NAVs) and market prices of these funds - the two prices closed end funds have. Given differential information holding hypothesis, the size of assets and liabilities of closed end funds, and the method of computing net asset value,it is anticipated that changes in exchange rates will quickly be observed in the net asset values,and thereby influence the volatility of discounts or premiums of these funds. This study particularly focuses on daily movements of exchange rates, market prices and net asset values.

Publication Name

International Journal of Business

Volume Number

6

First Page

85

Last Page

100

Issue Number

1