| dc.description.abstract | The shares of a closed-end Mutual Fund may be regarded as derived
securities because their value depends entirely on the prices of
securities that comprise the fund portfolio. Therefore, the Net
Asset Value (NAV) of these shares, after adjustments for winding up
costs, can be regarded as their fundamental value. In an efficient
market, the prices of these shares would move in line with the
changes in their NAV. This paper examines the relationship between
the price and the NAV of Mastershares, the first closed-end fund in
India. The investigations revealed that there is excessive
volatility in prices, not justified by the fluctuations in the NAV.
The price also show a mean reverting behaviour. These observations
are in line with recent works on irrationality in pricing of
securities and emphasize the doubts raised about efficacy of
standard test for market efficiency. | en |
