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Exploring the conditional performance of U.K. unit trusts

Fletcher, Jonathan and Ntozi-Obwale, Patricia (2009) Exploring the conditional performance of U.K. unit trusts. Journal of Financial Services Research, 36 (1). pp. 21-44. ISSN 0920-8550

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Abstract

We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter(2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities that the trusts hold.

Item type: Article
ID code: 14052
Keywords: conditional performance, stochastic discount factor, linear factor models, unit trusts, Finance, Finance, Economics and Econometrics, Accounting
Subjects: Social Sciences > Finance
Department: Strathclyde Business School > Accounting and Finance
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Depositing user: Miss Donna McDougall
Date Deposited: 14 Jan 2010 19:24
Last modified: 04 Sep 2014 23:57
URI: http://strathprints.strath.ac.uk/id/eprint/14052

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