Relevance of Currency Exposure in the Valuation of Single Country Closed-End Funds
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.
International Journal of Business
Mulugetta, Abraham; Ghosh, Dilip; and Cheng, Joseph, "Relevance of Currency Exposure in the Valuation of Single Country Closed-End Funds" (2001). Finance and International Business Faculty Publications. 17.