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An exploration of the conditional timing performance of UK unit trusts

An exploration of the conditional timing performance of UK unit trusts

Byrne, Alistair, Fletcher, Jonathan and Ntozi-Obwale, Patricia (2006) An exploration of the conditional timing performance of UK unit trusts. Journal Of Business Finance & Accounting, 33 (5-6). pp. 816-838. ISSN 1468-5957 (doi:10.1111/j.1468-5957.2006.00617.x)

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Abstract

We examine the conditional market timing performance of UK unit trusts between January 1988 and December 2002. We find no evidence of superior conditional market timing performance by UK unit trusts either across different portfolios of trusts or by individual trusts. We also find that benchmark investing is significant for UK unit trusts and trusts have high numerical risk aversion to deviations from the benchmark. Our findings suggest that UK trusts act like benchmark investors.

Item Type: Article
Uncontrolled Keywords: conditional timing performance, unit trusts,
Subjects: H Social Sciences > HG Finance
Faculty / Department / Research Group: Faculty of Business > Department of Accounting & Finance
Related URLs:
Last Modified: 14 Oct 2016 09:16
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: None
URI: http://gala.gre.ac.uk/id/eprint/6540

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