Dundee Discussion Papers in Economics 023: Uk Unit Trust Performance 1980-1989: A Passive Time-Varying Approach

Angela J. Black, Patricia Fraser, David Power

    Research output: Working paper/PreprintDiscussion paper

    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 languageEnglish
    PublisherUniversity of Dundee
    Pages1015-1033
    Number of pages19
    Publication statusPublished - Feb 1991

    Publication series

    NameDundee Discussion Papers in Economics
    PublisherUniversity of Dundee
    No.023
    ISSN (Print)1473-236X

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