We study the effect of country-specific attention on prices and net asset values of closed-end country funds. Using Google search volume indexes for country names, we construct three country-specific attention measures, domestic (U.S.) attention, worldwide attention, and asymmetric attention between domestic and worldwide. We find that current domestic attention and asymmetric attention positively predict both future price returns and premiums of U.S. listed closed-end country funds in the next month. In contrast, the links between attentions and future returns of U.S. single-country exchange-traded funds (ETFs) are weak. The evidence suggests that country-specific attention also affects domestic investors’ pricing of foreign securities and lends support to the theories on market segmentation and attention allocation.
Rotterdam Brown Bag Seminars in Finance
- Speaker(s)
- Mike Mao (Erasmus University Rotterdam)
- Date
- Wednesday June 5, 2013
- Location
- Rotterdam