An exploration of the conditional timing performance of UK unit trusts

Alistair Byrne, Jonathan Fletcher, Patricia Ntozi

    Research output: Contribution to journalArticle

    10 Citations (Scopus)

    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.
    Original languageEnglish
    Pages (from-to)816-838
    Number of pages23
    JournalJournal of Business Finance & Accounting
    Volume33
    Issue number5-6
    DOIs
    Publication statusPublished - 2006

    Fingerprint

    Unit trusts
    Benchmark
    Market timing
    Investing
    Investors
    Deviation
    Risk aversion

    Keywords

    • Unit trusts
    • United Kingdom

    Cite this

    Byrne, Alistair ; Fletcher, Jonathan ; Ntozi, Patricia. / An exploration of the conditional timing performance of UK unit trusts. In: Journal of Business Finance & Accounting. 2006 ; Vol. 33, No. 5-6. pp. 816-838.
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    An exploration of the conditional timing performance of UK unit trusts. / Byrne, Alistair; Fletcher, Jonathan; Ntozi, Patricia.

    In: Journal of Business Finance & Accounting, Vol. 33, No. 5-6, 2006, p. 816-838.

    Research output: Contribution to journalArticle

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