Predictability, trends and seasonalities: an empirical analysis of UK investment trust portfolios 1970-1989

Patricia Fraser, David M. Power

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    5 Citations (Scopus)


    Persistence is examined in the excess returns of ten UK investment trust companies’ shares over the period 1970-1989. The main findings are that the excess returns appear to have a predictable component and that the observed persistence has a strong seasonal element; the transitory component in excess returns is large and positive in January.

    Original languageEnglish
    Pages (from-to)161-171
    Number of pages11
    JournalApplied Financial Economics
    Issue number3
    Publication statusPublished - 1992


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