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

TY - JOUR

T1 - Predictability, trends and seasonalities

T2 - an empirical analysis of UK investment trust portfolios 1970-1989

AU - Fraser, Patricia

AU - Power, David M.

PY - 1992

Y1 - 1992

N2 - 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.

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.

UR - https://www.scopus.com/pages/publications/84963176209

U2 - 10.1080/758516630

DO - 10.1080/758516630

M3 - Article

AN - SCOPUS:84963176209

SN - 0960-3107

VL - 2

SP - 161

EP - 171

JO - Applied Financial Economics

JF - Applied Financial Economics

IS - 3

ER -