Evaluating the performance of U.S. international equity closed-end funds

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Abstract

This study examines whether clientele effects are important in the evaluation of the performance of U.S. international equity closed-end funds (CEF) using the best clientele (BC) performance measure of Chretien and Kammoun (2017), and alternative stochastic discount factor models based on global factor models. The study finds that clientele effects are important when evaluating the performance of international CEFs, as there are significant differences between the BC performance and performance using the global factor models. International CEF provide significant superior performance using the BC measure and neutral performance with the global factor models.
Original languageEnglish
Article number100692
Number of pages51
JournalJournal of Multinational Financial Management
Volume60
Early online date17 Apr 2021
DOIs
Publication statusPublished - 30 Jun 2021

Keywords

  • good-deal performance
  • closed-end funds
  • global factor models

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