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Predicting Dividend Cuts For Dividend-Rich Closed-End Municipal Bond Funds
Appreciate the feedback. To summarize, we started by testing the correlation between UNII trends and dividend changes for ALL categories of CEF's, thinking that there should be some kind of relationship. What we saw was a higher confidence level in downward UNII trend and dividend cuts in tax-free muni's than in any other category.
The research simply consisted of running a series of filters in the CEF Universe over time (Sept-Dec). By combining filters for downward UNII, downward earnings trend, ECR <100, as well as taking weeding out funds that don't report monthly figures (roughly 20% of Muni's), we were able to look at the percentage of funds that cut their dividends and fit the criteria in the given time frame.
I would be happy to provide the actual tickers used in the research, but as there were roughly 80 of them, I'm not sure that would be of much help. Also available is a free 14-day trial to the CEF Universe that will give you access to the raw data and see where we are coming from. Hope this helps.
Feb 18, 2013. 10:33 AM
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