Arbitrage bounds and U.K. unit trust performance
Fletcher, Jonathan and Ntozi-Obwale, Patricia (2008) Arbitrage bounds and U.K. unit trust performance. Journal of Business Finance and Accounting, 35 (3-4). pp. 580-600. ISSN 0306-686X (https://doi.org/10.1111/j.1468-5957.2008.02077.x)
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We use the arbitrage performance bounds of Ahn, Cao and Chretien (2003) to evaluate U.K. unit trust performance between January 1988 and December 2002. We find that trust performance is sensitive to the admissible stochastic discount factor used for both the average trust and the majority of individual trusts. The investment style, size, load charge, and annual charge of the trust all have an impact on trust performance. We find for some trusts, the Jensen (1968) and Ferson and Schadt (1996) measures do not satisfy arbitrage bounds by the base assets.
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Item type: Article ID code: 14049 Dates: DateEventApril 2008PublishedSubjects: Social Sciences > Finance Department: Strathclyde Business School > Accounting and Finance Depositing user: Miss Donna McDougall Date deposited: 14 Jan 2010 19:18 Last modified: 08 Apr 2024 17:03 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/14049