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 0306-686X (Print), 1468-5957 (Online) (doi:10.1111/j.1468-5957.2008.02077.x)

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Abstract

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.

Item Type:	Article
Additional Information:	[1] First published online: 10 March 2008. [2] Issue published online: 10 March 2008. [3] Published in print: April 2008. [4] Published as: Journal of Business Finance & Accounting, (2008), Vol. 35, (3-4), pp. 580–600.
Uncontrolled Keywords:	performance evaluation, stochastic discount factor, arbitrage bounds
Subjects:	H Social Sciences > HG Finance
Faculty / School / Research Centre / Research Group:	Faculty of Business > Institute of Political Economy, Governance, Finance and Accountability (IPEGFA) > Centre for Governance, Risk & Accountability (CGRA) Faculty of Business > Department of Accounting & Finance
Related URLs:	Publisher Organisation
Last Modified:	28 Jan 2020 10:47
URI:	http://gala.gre.ac.uk/id/eprint/6541

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