An exploration of the conditional timing performance of UK unit trusts

Alistair Byrne, Jonathan Fletcher, Patricia Ntozi

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

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.
LanguageEnglish
Pages816-838
Number of pages22
JournalJournal of Business Finance and Accounting
Volume33
Issue number5-6
DOIs
Publication statusPublished - 23 Jun 2006

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Unit trusts
Benchmark
Market timing
Risk aversion
Investing
Investors
Deviation

Keywords

  • conditional timing performance
  • unit trusts
  • business finance
  • financial management

Cite this

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An exploration of the conditional timing performance of UK unit trusts. / Byrne, Alistair; Fletcher, Jonathan; Ntozi, Patricia.

In: Journal of Business Finance and Accounting, Vol. 33, No. 5-6, 23.06.2006, p. 816-838.

Research output: Contribution to journalArticle

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