Scandinavian investor sentiment and net asset value discounts of closed-end investment companies

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi Lahti, Niklas 2012-07-03T09:21:07Z 2012-07-03T09:21:07Z 2012
dc.description.abstract PURPOSE OF THE STUDY The purpose of this study is to investigate the effects of Swedish and Scandinavian investor sentiment on the net asset value discounts of closed-end investment companies. While previous studies have linked sentiment to discounts, both Scandinavian and Swedish evidence is lacking. The study contributes to existing literature by further developing the methodology by Baker & Wurgler (2006) to examine the investor sentiment effect brought forward by Lee et al. (1991) in a Scandinavian setting. In particular, this study offers additional evidence to Hjelström (2007) regarding the aggregate discounts of closed-end investment companies in Swedish capital markets. Unlike previous studies, I provide evidence on individual investment companies and consider both regional and local sentiment as an explanatory factor. DATA The investor sentiment data set covers quarterly data for stock mutual fund inflows, trading volume for aggregate equity markets, and the number and first-day returns of all main-list IPOs within the time period of 1.1.1999 to 31.3.2011 separately for Sweden, Finland, Denmark and Norway. The net asset value data set covers 854 quarter-end net asset value discounts (or premiums) of 20 closed-end investment companies during the same time period. Both of the novel datasets were manually collected from multiple sources. RESULTS My main findings indicate that the aggregate net asset value discount of closed-end investment companies is not a sentiment indicator. I show that investor sentiment does not affect aggregate discounts but rather affects the discounts of individual closed-end investment companies. Furthermore, sentiment affects the discounts of individual investment companies in conflicting ways (i.e. positive sentiment can either increase or decrease discounts). Finally, I find evidence indicating that discounts of individual investment companies do not exhibit correlation, and that the strength of the sentiment effect varies substantially between different types of individual investment companies. My results are mostly in contrast to Lee et al. (1991) but in line with Hjelström (2007). en
dc.format.extent 66
dc.language.iso en en
dc.title Scandinavian investor sentiment and net asset value discounts of closed-end investment companies en
dc.type G2 Pro gradu, diplomityö fi Kauppakorkeakoulu fi School of Economics en
dc.contributor.department Department of Finance en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword rahoitus; financing; sijoittajasentimentti; investor sentiment; substanssialennus; net asset value discount; noteerattu sijoitusyhtiö; closed-end investment company
dc.identifier.urn URN:NBN:fi:aalto-201305163241
dc.type.dcmitype text en
dc.programme.major Finance en
dc.programme.major Rahoitus fi
dc.type.ontasot Master's thesis en
dc.type.ontasot Pro gradu tutkielma fi
dc.subject.helecon rahoitus
dc.subject.helecon financing
dc.subject.helecon sijoitukset
dc.subject.helecon investments
dc.subject.helecon sijoittajat
dc.subject.helecon investors
dc.subject.helecon pörssiyhtiöt
dc.subject.helecon exchange-listed companies
dc.ethesisid 12905 2012-06-14
dc.location P1 I

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