New model for valuing closed-end funds

BVWireIssue #154-2
July 15, 2015

In a new paper, a valuation model for closed-end funds is derived using CAPM. The paper’s authors, Joseph Cheng and Abraham Mulugetta (both Ithaca College), say this model “may be considered a breakthrough in the field of closed-end funds since a formula for estimating the theoretical value of the fund portfolio has been developed without a priori knowledge of its beta value, the need for making constant growth assumption, or resorting to regression analysis which is subject to statistical error.”

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