An exploration of the conditional timing performance of UK unit trusts

Byrne, Alistair and Fletcher, Jonathan and Ntozi, Patricia (2006) An exploration of the conditional timing performance of UK unit trusts. Journal of Business Finance and Accounting, 33 (5-6). pp. 816-838. ISSN 0306-686X (http://dx.doi.org/10.1111/j.1468-5957.2006.00617.x)

Full text not available in this repository.Request a copy

Abstract

We examine the conditional market timing performance of UK unit trusts between January 1988 and December 2002. We find no evidence of superior conditional market timing performance by UK unit trusts either across different portfolios of trusts or by individual trusts. We also find that benchmark investing is significant for UK unit trusts and trusts have high numerical risk aversion to deviations from the benchmark. Our findings suggest that UK trusts act like benchmark investors.

ORCID iDs

Byrne, Alistair, Fletcher, Jonathan ORCID logoORCID: https://orcid.org/0000-0003-0568-9145 and Ntozi, Patricia;
CORE (COnnecting REpositories)