- Publications
- Influence
Claim Your Author Page
Ensure your research is discoverable on Semantic Scholar. Claiming your author page allows you to personalize the information displayed and manage publications.
Unlike closed‐end country funds that usually trade at large premiums to the values of their portfolios, exchange‐traded funds facilitate arbitrage to prevent their prices from deviating from their… (More)
Closed-end funds often trade at a discount to net asset value. Previous research suggests that the positive correlation in discounts is associated with investor sentiment that causes systematic… (More)
Student-managed portfolios offer a practical learning environment but often miss opportunities for outperformance. The authors provide several recommendations for structuring fund trades to enhance… (More)
Abstract Previous research documents the value of closed-end fund trading rules based on the size of the weekly discount. The growing number of closed-end funds that provide daily net asset value… (More)
Purpose
Student-managed investment funds typically pursue “plain vanilla” objectives. The purpose of this paper is to demonstrate the value of adding option strategies to reduce the risk of… (More)
Abstract This article quantifies the effect of taxes on the magnitude and variability of cash flows from taxable retirement portfolios. While previous research focuses on pretax cash flows, this… (More)
Liquid alternatives are required to compare their performance to a broad-based market index. Despite their objective to offer low correlations with equity returns, these funds provide traditional… (More)
While similar in their trading and organization, closed-end funds (CEFs) and exchange-traded funds (ETFs) differ in their liquidity and ease of arbitrage. We compare their price transmission dynamics… (More)
Abstract We study the price discovery in price disagreement between the China ETF 50 index and option markets. The price disagreement is measured by upper and lower option boundary violations that… (More)
Our study assesses the performance of portfolios formed using out-of-sample sector forecasts and past firm fundamental ratios. Portfolio allocations based on profitability measures—gross profit,… (More)