Volatility of investment trust returns

Davies, J.R. and Agyei-Ampomah, Samuel (2005) Volatility of investment trust returns. Journal of Business Finance and Accounting, 32 (5-6). pp. 1033-1062. ISSN 0306-686X (http://dx.doi.org/10.1111/j.0306-686X.2005.00621.x)

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Abstract

The issue of whether or not asset prices are more volatile than the underlying fundamentals is an empirical question with implications for market efficiency. Recent research suggests that the volatility of closed end fund returns in the USA is significantly higher than the returns on assets held by the funds. This has been attributed to noise trading as closedend fund shares are predominantly held by individual investors. This study demonstrates that UK investment trust returns exhibit similar excess volatility in spite of the prevalence of institutional investors. However, big investment trusts in terms of market capitalisation show greater excess volatility than small trusts. Although most of the excess volatility appears to be idiosyncratic, investor sentiment index is the most important variable associated with residual returns.

ORCID iDs

Davies, J.R. ORCID logoORCID: https://orcid.org/0000-0002-1326-4692 and Agyei-Ampomah, Samuel;
  • Item type:Article
    ID code:3643
    Dates:
    Date
    Event
    June 2005
    Published
    Keywords:investment trust returns, business finance, accounting, Finance, Finance, Business, Management and Accounting (miscellaneous), Accounting
    Subjects:Social Sciences > Finance
    Department:Strathclyde Business School > Accounting and Finance
    Depositing user: Strathprints Administrator
    Date deposited:05 Jul 2007
    Last modified:07 Dec 2022 02:52
    URI:https://strathprints.strath.ac.uk/id/eprint/3643
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