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

Patricia Fraser; David M. Power

doi:10.1080/758516630

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

Patricia Fraser, David M. Power

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

6 Citations (Scopus)

Abstract

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 language	English
Pages (from-to)	161-171
Number of pages	11
Journal	Applied Financial Economics
Volume	2
Issue number	3
DOIs	https://doi.org/10.1080/758516630
Publication status	Published - 1992

ASJC Scopus subject areas

Economics and Econometrics
Finance

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10.1080/758516630

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abstract = "Persistence is examined in the excess returns of ten UK investment trust companies{\textquoteright} 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.",

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AB - 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.

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

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ASJC Scopus subject areas

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