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Is poor performance of UK unit trusts explained by recession bias

Is poor performance of UK unit trusts explained by recession bias

Ntozi-Obwale, Patricia (2014) Is poor performance of UK unit trusts explained by recession bias. [Working Paper]

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Abstract

This study investigates the performance of UK Unit Trusts to examine the effect of fund managers’ stock picking ability (selectivity) or ability to time the market (timing). Previous studies of fund performance have found no evidence of superior performance and in some cases, findings have indicated poor performance. (Byrne, Fletcher and Ntozi, 2006, Cuthbertson, Nitzsche and O’Sullivan, 2008 and Cuthbertson, Nitzsche and O’Sullivan, 2009). However, there are only a few studies that have attempted to explain factors that could have contributed to the poor performance of UK unit trusts. This study investigates the extent to which fund manager selectivity and timing as well as other factors such as business cycles may explain the performance of UK unit trusts. By splitting the sample we discover that poor performance is typical during recession periods. However, the non-recession periods show neutral results. The study of recessions and expansions continues to prevail in Finance research. (Kaushik et al, 2010, Kosowski, 2006) and Moskowitz, 2000).

Item Type: Working Paper
Uncontrolled Keywords: UK unit trusts, selectivity and timing, conditional performance,
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HG Finance
Faculty / Department / Research Group: Faculty of Business > Centre for Governance, Risk & Accountability (GRA)
Related URLs:
Last Modified: 14 Oct 2016 09:28
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: None
URI: http://gala.gre.ac.uk/id/eprint/11773

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