Arbitrage bounds and UK unit trust performance
Fletcher, Jonathan and Ntozi-Obwale, Patricia (2008) Arbitrage bounds and UK unit trust performance. Journal Of Business Finance & Accounting, 35 (3-4). pp. 580-600. ISSN 1468-5957Full text not available from this repository.
We use the arbitrage performance bounds of Ahn, Cao and Chretien (2003) to
evaluate UK unit trust performance between January 1988 and December 2002.We find that trust
performance is sensitive to the admissible stochastic discount factor used for both the average
trust and the majority of individual trusts. The investment style, size, load charge, and annual
charge of the trust all have an impact on trust performance. We find for some trusts, the Jensen
(1968) and Ferson and Schadt (1996) measures do not satisfy arbitrage bounds by the base assets.
|Uncontrolled Keywords:||performance evaluation, stochastic discount factor, arbitrage bounds|
|Subjects:||H Social Sciences > HG Finance|
|School / Department / Research Groups:||School of Business|
School of Business > Department of Accounting & Finance
|Last Modified:||05 Dec 2012 13:16|
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