한국 주식시장에서 인덱스펀드의 과도한 할인현상에 관한 연구:코스파이더

목차

I. 서론

II. 코스파이더와 시장 효율성
1. 펀드의 개요
2. 실증분석
3. 공적분 검정

III. 심층분석
1. 폐쇄형 펀드 수수께끼와 코스파이더
2. 코스파이더와 배당
3. 합리적 투자자와 차익거래 기회

IV. 결론

<참 고 문 헌>

본문내용

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__________________, "Cloesd-End Fund Shares' Abnormal Returns and the Information Content of Discounts and Premiums," Journal of Finance 43 (1988), pp. 113-128.
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Peavy, John W., "Returns on Initial Public Offerings of Closed-End Funds," Review of Financial Studies 3 (1990), pp. 695-708.
Pontiff, J., "Closed-End Fund Premia and Returns: Implications for Financial Market Equilibrium," Journal of Financial Economics 37 (1995), pp. 341-370.
Richards, R. M., D. R. Fraser, and J. C. Groth, "Winning Strategies for Closed-End Funds," Journal of Portfolio Management (Fall 1980), pp. 50-55.
Rozeff, M. S., and W. R. Kinney, "Capital Market Seasonality: The Case of Stock Returns", Journal of Financial Economics (1976), pp. 379-402.
Shiller, Robert J., "Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?", American Economic Review (1981), pp. 421-436.
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Weiss, Kathleen, "The Post-Offering Price Performance of Closed-End Funds," Financial Management (Autumn 1989), pp. 57-67.

키워드

코스파이더,   시장 효율성,   폐쇄형펀드,   차익거래,   합리적 투자자,   순자산가치