Conditional performance in different states of the economy: evidence from U.K. unit trusts
Ntozi-Obwale, Patricia, Fletcher, Jonathan and Power, David (2008) Conditional performance in different states of the economy: evidence from U.K. unit trusts. Journal of Financial Transformation, 24. pp. 153-159. ISSN 1755-361XFull text not available from this repository.
The purpose of this paper is to test if U.K. unit trust managers exhibit security selection and market timing skills. In other words, can they identify underpriced securities or time the market according to whether the economy is expanding or contracting. Specifically, the security selection and timing abilities is allowed to vary throughout the sample period as different economic conditions arise. The evidence shows that there is some evidence of timing skill particularly among managers of growth & income trusts when the dividend yield levels are either relatively low or relatively high. Also, managers of balanced trusts display some evidence of market timing when interest rates are relatively high. There is very little support for the view that the security selection skills of U.K. unit trust managers contribute to fund performance.
|Additional Information:|| First published: November 2008.  Published as: Journal of Financial Transformation, (2008), Journal 24, pp. 153-159.|
|Uncontrolled Keywords:||unit trusts, securities|
|Subjects:||H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management|
H Social Sciences > HG Finance
|School / Department / Research Groups:||School of Business|
School of Business > Department of Accounting & Finance
School of Business > Centre for Governance, Risk & Accountability (GRA)
|Last Modified:||11 Dec 2013 12:45|
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