Fletcher, Jonathan and Forbes, David (2002) An exploration on the persistence of UK unit trust performance. Journal of Empirical Finance, 9 (5). pp. 475-493. ISSN 0927-5398
Full text not available in this repository. (Request a copy from the Strathclyde author)Abstract
We examine the persistence in UK unit trust performance between January 1982 and December 1996. We find significant persistence in the relative rankings of trusts using different performance measures. We also find significant persistence in the performance of portfolios of trusts, formed on the basis of prior year excess returns, when performance is evaluated relative to models based on the capital asset pricing model (CAPM) or arbitrage pricing theory (APT). However this persistence is eliminated when performance is evaluated relative to a model similar to Carhart [Journal of Finance 52 (1997) 57]. Using a conditional performance measure leads to significant reversals in performance with this model.
| Item type: | Article |
|---|---|
| ID code: | 3661 |
| Keywords: | performance persistence, benchmark portfolios, UK, capital asset pricing model, arbitrage pricing theory, Finance |
| Subjects: | Social Sciences > Finance |
| Department: | Strathclyde Business School > Accounting and Finance |
| Related URLs: | |
| Depositing user: | Strathprints Administrator |
| Date Deposited: | 06 Jul 2007 |
| Last modified: | 12 Mar 2012 10:39 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/3661 |
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