TY - JOUR
T1 - An empirical examination of UK International unit trust performance
AU - Fletcher, J.
AU - Marshall, A.P.
PY - 2005/4
Y1 - 2005/4
N2 - We examine the performance of U.K. unit trusts with international equity objectives between January 1985 and December 2000 using four international factor models. The international version of the Carhart (1997) model performs the best in explaining the cross-section of international stock returns. There is little evidence of superior performance by international trusts relative to the global models. We also find that the choice between a local and global version of the Carhart model has a significant impact on the relation between the investment sector of the trust and performance.
AB - We examine the performance of U.K. unit trusts with international equity objectives between January 1985 and December 2000 using four international factor models. The international version of the Carhart (1997) model performs the best in explaining the cross-section of international stock returns. There is little evidence of superior performance by international trusts relative to the global models. We also find that the choice between a local and global version of the Carhart model has a significant impact on the relation between the investment sector of the trust and performance.
KW - fund performance
KW - international asset pricing
UR - http://www.springerlink.com/content/qp5m78351033j01g/fulltext.pdf
UR - http://dx.doi.org/10.1007/s10693-005-6668-9
U2 - 10.1007/s10693-005-6668-9
DO - 10.1007/s10693-005-6668-9
M3 - Article
VL - 27
SP - 183
EP - 206
JO - Journal of Financial Services Research
JF - Journal of Financial Services Research
SN - 0920-8550
IS - 2
ER -