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
Full text not available in this repository.Request a copy from the Strathclyde authorOfficial URL: http://dx.doi.org/10.1111/j.1475-6803.2004.00084.x
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.
| Creators(s): |
Fletcher, Jonathan  ORCID: https://orcid.org/0000-0003-0568-9145 and Forbes, David N.;
| Item type: | Article |
|---|---|
| ID code: | 3662 |
| Keywords: | performance evaluation, UK, unit trusts, stochastic discount framework, trading strategies, Finance, Finance, Accounting |
| Subjects: | Social Sciences > Finance |
| Department: | Strathclyde Business School > Accounting and Finance |
| Depositing user: | Strathprints Administrator |
| Date deposited: | 11 Jul 2007 |
| Last modified: | 07 Aug 2020 01:21 |
| URI: | https://strathprints.strath.ac.uk/id/eprint/3662 |
| Export data: |
CORE (COnnecting REpositories)
CORE (COnnecting REpositories)
CORE (COnnecting REpositories)