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Exploring the conditional performance of UK unit trusts

Exploring the conditional performance of UK unit trusts

Fletcher, Jonathan and Ntozi-Obwale, Patricia (2009) Exploring the conditional performance of UK unit trusts. Journal of Financial Services Research, 36 (1). pp. 21-44. ISSN 0920-8550 (Print), 1573-0735 (Online) (doi:10.1007/s10693-009-0061-z)

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Abstract

We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter (2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities that the trusts hold.

Item Type: Article
Uncontrolled Keywords: conditional performance, stochastic discount factor, linear factor models, unit trusts
Subjects: H Social Sciences > HG Finance
Faculty / Department / Research Group: Faculty of Business > Department of Accounting & Finance
Faculty of Business
Related URLs:
Last Modified: 14 Oct 2016 09:04
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: None
URI: http://gala.gre.ac.uk/id/eprint/1702

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