UK unit trust performance 1980-1989: A passive time-varying approach

Angela J Black; Patricia Fraser; David Power

doi:10.1016/0378-4266(92)90038-2

UK unit trust performance 1980-1989: A passive time-varying approach

Angela J Black, Patricia Fraser, David Power

Research output: Contribution to journal › Article › peer-review

61 Citations (Scopus)

Abstract

This paper indirectly tests the efficient markets hypothesis by analysing the performance of 30 authorised unit trusts from 1980 through 1989. The risk-return relationship of the funds is allowed to vary in a generalised manner thus allowing for passive structural change in underlying economic relationships. Our findings suggest that 21 of the 30 trusts in the sample were able to supply investment opportunities to the individual investor which were superior to a buy-and-hold strategy.

Original language	English
Pages (from-to)	1015-1033
Journal	Journal of Banking and Finance
Volume	16
Issue number	5
DOIs	https://doi.org/10.1016/0378-4266(92)90038-2
Publication status	Published - Sep 1992

Keywords

Kalman filter
unit trusts
efficient markets
mutual fund performance
investment performance
systematic risk
selectivity
behavior
tests

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10.1016/0378-4266(92)90038-2

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title = "UK unit trust performance 1980-1989: A passive time-varying approach",

abstract = "This paper indirectly tests the efficient markets hypothesis by analysing the performance of 30 authorised unit trusts from 1980 through 1989. The risk-return relationship of the funds is allowed to vary in a generalised manner thus allowing for passive structural change in underlying economic relationships. Our findings suggest that 21 of the 30 trusts in the sample were able to supply investment opportunities to the individual investor which were superior to a buy-and-hold strategy.",

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AB - This paper indirectly tests the efficient markets hypothesis by analysing the performance of 30 authorised unit trusts from 1980 through 1989. The risk-return relationship of the funds is allowed to vary in a generalised manner thus allowing for passive structural change in underlying economic relationships. Our findings suggest that 21 of the 30 trusts in the sample were able to supply investment opportunities to the individual investor which were superior to a buy-and-hold strategy.

KW - Kalman filter

KW - unit trusts

KW - efficient markets

KW - mutual fund performance

KW - investment performance

KW - systematic risk

KW - selectivity

KW - behavior

KW - tests

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DO - 10.1016/0378-4266(92)90038-2

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JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

IS - 5

ER -

UK unit trust performance 1980-1989: A passive time-varying approach

Abstract

Keywords

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