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 |
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Uncontrolled Keywords: | UK unit trusts, selectivity and timing, conditional performance, |
Subjects: | H Social Sciences > H Social Sciences (General) H Social Sciences > HG Finance |
Faculty / School / Research Centre / Research Group: | Faculty of Business Faculty of Business > Department of Accounting & Finance Faculty of Business > Institute of Political Economy, Governance, Finance and Accountability (IPEGFA) Faculty of Business > Institute of Political Economy, Governance, Finance and Accountability (IPEGFA) > Centre for Governance, Risk & Accountability (CGRA) |
Related URLs: | |
Last Modified: | 18 Sep 2019 14:17 |
URI: | http://gala.gre.ac.uk/id/eprint/11773 |
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