We examine the conditional market timing performance of UK unit trusts between January 1988 and December 2002. We find no evidence of superior conditional market timing performance by UK unit trusts either across different portfolios of trusts or by individual trusts. We also find that benchmark investing is significant for UK unit trusts and trusts have high numerical risk aversion to deviations from the benchmark. Our findings suggest that UK trusts act like benchmark investors.
|Number of pages||22|
|Journal||Journal of Business Finance and Accounting|
|Publication status||Published - 23 Jun 2006|
- conditional timing performance
- unit trusts
- business finance
- financial management