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Conditional performance in different states of the economy: evidence from U.K. unit trusts

Fletcher, Jonathan and Ntozi-Obwale, Patricia and Power, D. (2009) Conditional performance in different states of the economy: evidence from U.K. unit trusts. Journal of Financial Transformation, 24. pp. 155-161. ISSN 1755-361X

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    Abstract

    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.

    Item type: Article
    ID code: 14082
    Keywords: uk unit trusts, accountancy, finance, Finance, Accounting
    Subjects: Social Sciences > Finance
    Social Sciences > Commerce > Accounting
    Department: Strathclyde Business School > Accounting and Finance
    Related URLs:
    Depositing user: Miss Donna McDougall
    Date Deposited: 15 Jan 2010 10:32
    Last modified: 04 Oct 2012 21:52
    URI: http://strathprints.strath.ac.uk/id/eprint/14082

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