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Performance evaluation of UK unit trusts within the stochastic discount framework

Fletcher, Jonathan and Forbes, David N. (2004) Performance evaluation of UK unit trusts within the stochastic discount framework. Journal of Financial Research, 27 (2). pp. 289-306. ISSN 0270-2592

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Abstract

We examine the performance of U.K. unit trusts between January 1982 and December 1996 within the stochastic discount factor approach across a wide class of models. No one model dominates the others in correctly pricing passive portfolios or detecting superior performance for hypothetical trading strategies. We find no evidence of significant superior performance by the unit trusts for any model of the stochastic discount factor. Also, the charges of the trust have a mixed effect on trust performance.

Item type: Article
ID code: 3662
Keywords: performance evaluation, UK, unit trusts, stochastic discount framework, trading strategies, Finance
Subjects: Social Sciences > Finance
Department: Strathclyde Business School > Accounting and Finance
Related URLs:
    Depositing user: Strathprints Administrator
    Date Deposited: 11 Jul 2007
    Last modified: 12 Mar 2012 10:39
    URI: http://strathprints.strath.ac.uk/id/eprint/3662

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