Stale Pricing in Mutual Funds, M.Sc. Thesis Sharif University of Technology ; Barakchian, Mahdi (Supervisor) ; Ebrahimnejad, Ali (Supervisor)
Abstract
One of the advantage of the mutual funds is their liquidity. They should pay back investor’s money based on Net Asset Value (NAV) anytime they request. Sometimes, NAV computed by fund is different from the real value of it. This error in pricing could be more intense in Iran because Iran stock market liquidity is low, ticker become closed frequently, and stocks can’t be traded and the change of price in one day has the limitation. All of these reasons make the price of stock in Iran stale which doesn’t contain the latest market information. The staleness of stock price makes the return of funds predictable and provide the opportunity of arbitrage which causes the transfer of the wealth among...
Cataloging briefStale Pricing in Mutual Funds, M.Sc. Thesis Sharif University of Technology ; Barakchian, Mahdi (Supervisor) ; Ebrahimnejad, Ali (Supervisor)
Abstract
One of the advantage of the mutual funds is their liquidity. They should pay back investor’s money based on Net Asset Value (NAV) anytime they request. Sometimes, NAV computed by fund is different from the real value of it. This error in pricing could be more intense in Iran because Iran stock market liquidity is low, ticker become closed frequently, and stocks can’t be traded and the change of price in one day has the limitation. All of these reasons make the price of stock in Iran stale which doesn’t contain the latest market information. The staleness of stock price makes the return of funds predictable and provide the opportunity of arbitrage which causes the transfer of the wealth among...
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