Fletcher, J. and Marshall, A.P. (2005) An empirical examination of UK International unit trust performance. Journal of Financial Services Research, 27 (2). pp. 183-206. ISSN 0920-8550
Full text not available in this repository. (Request a copy from the Strathclyde author)Abstract
We examine the performance of U.K. unit trusts with international equity objectives between January 1985 and December 2000 using four international factor models. The international version of the Carhart (1997) model performs the best in explaining the cross-section of international stock returns. There is little evidence of superior performance by international trusts relative to the global models. We also find that the choice between a local and global version of the Carhart model has a significant impact on the relation between the investment sector of the trust and performance.
| Item type: | Article |
|---|---|
| ID code: | 5531 |
| Keywords: | fund performance, international asset pricing, Commerce |
| Subjects: | Social Sciences > Commerce |
| Department: | Strathclyde Business School > Accounting and Finance |
| Related URLs: | |
| Depositing user: | Strathprints Administrator |
| Date Deposited: | 29 Feb 2008 |
| Last modified: | 12 Mar 2012 10:43 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/5531 |
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