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
Full text not available in this repository. (Request a copy from the Strathclyde author)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 |
| Subjects: | Social Sciences > Finance |
| Department: | Strathclyde Business School > Accounting and Finance |
| Related URLs: | |
| Depositing user: | Miss Donna McDougall |
| Date Deposited: | 14 Jan 2010 19:24 |
| Last modified: | 12 Mar 2012 10:58 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/14052 |
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