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Fair value's effects on closed-end funds' discounts and premia: is level 3 the sole perpetrator?

机译：公允价值对封闭式资金折扣和首页的影响：是唯一的犯罪者级别？

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Purpose - This study examines the long-term link between fair valuation uncertainty and discounts/premia in closed-end funds. This study argues that, in exploring the close-end funds puzzle, prior research generally omits to consider the uncertainty surrounding the measurement of funds' financial disclosure, as reflected in the fair value hierarchy, when investment specialty differs across funds.Design/methodology/approach - Regressions were employed to explore how the fair value hierarchy affects closed-end funds' discounts/premia when investment specialty differs. The authors also examine the effects pre- and post-2012 to explore if that relationship changes due to the additional disclosure requirements enacted at the end of 2011.Findings - The authors find that the three levels of the fair value hierarchy have effects that vary according to a fund's specialty. For equity specialized funds, Level 3 significantly increases discounts and decreases premia, suggesting the impact of valuation uncertainty that underlies Level 3 estimates; this relationship disappears (decreases in severity) for premia (discount) experiencing funds post-2012. In contrast, Level 1 and Level 2 do not have any significant effect on discounts or premia except that post-2012, Level 2 begins to display discount decreasing effects. For bond specialized funds, no significant association was noted between premia and any of the fair value levels except that post-2012, Level 3 begins to display premium increasing effects. However, results are different for discounts. The authors note that Level 1 valuations significantly increase discounts, but only post-2012; Level 2 valuations significantly decrease discounts (pre- and post-2012), consistent with such estimates incorporating unique and relevant information; and Level 3 valuations do not have a significant effect on discounts. Originality/value - The results of this study revisit prior evidence and indicate that results about the effects of fair value measurement and the closed-end funds' puzzle are sensitive to the period length being considered and the investment specialty of the fund. The authors also note that additional disclosure regarding Level 3 valuation inputs decreases market concern for valuation uncertainty and increases the liquidity benefits of investing in Level 3 carrying funds.
机译：目的 - 本研究审查了截止终端资金的公平估值不确定性和折扣/主页之间的长期联系。本研究认为，在探索近端基金难题时，先前的研究通常省略了在公允价值等级中反映的基金财务披露的衡量，以考虑围绕资金的财务披露的不确定性，当投资专业对跨越资金的不同时.Design/Methodology/接近 - 回归探讨公允价值等级的折扣方式如何影响投资专业时的封闭资金折扣/主页。作者还检查2012年和2012年后的效果如果这种关系发生变化，如果由于2011年底颁布的额外披露要求.Findings - 作者发现公允价值等级的三个级别具有各种各样的效果到基金的专长。对于股权专业资金，3级显着提高折扣和减少物质地区，这表明估值不确定性的影响3级估计值;这种关系消失（严重程度减少）对2012年后的资金（折扣）遭受资金。相比之下，除了2012年第2级开始显示折扣减少效果外，1级和第2级对折扣或Premia没有任何显着影响。对于债券专业资金，在2012年第3级之后，Premia和任何公允价值水平之间没有重大关联，3级开始显示保费增加效果。但是，结果有所不同。作者注意到，1级估值显着增加折扣，但仅在2012年后; 2级估值显着减少折扣（2012年第2012年），与纳入独特和相关信息的估计值一致; 3级估值对折扣没有显着影响。原创/价值 - 本研究的结果重新审视现有证据，并表明对公允价值计量的影响和封闭式资金益智对所考虑的期间长度和基金的投资专业敏感。作者还请注意，关于3级估值投入的额外披露降低了估值不确定性的市场关切，并提高了投资3级载有资金的流动性效益。

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