Exploring the conditional performance of U.K. unit trusts
Fletcher, Jonathan and Ntozi-Obwale, Patricia (2009) Exploring the conditional performance of U.K. unit trusts. Journal of Financial Services Research, 36 (1). pp. 21-44. ISSN 0920-8550 (http://dx.doi.org/10.1007/s10693-009-0061-z)
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We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter(2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities that the trusts hold.
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Item type: Article ID code: 14052 Dates: DateEventAugust 2009PublishedSubjects: Social Sciences > Finance Department: Strathclyde Business School > Accounting and Finance Depositing user: Miss Donna McDougall Date deposited: 14 Jan 2010 19:24 Last modified: 08 Apr 2024 17:13 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/14052