Performance evaluation of UK unit trusts within the stochastic discount framework

Jonathan Fletcher; David N. Forbes

doi:10.1111/j.1475-6803.2004.00084.x

Performance evaluation of UK unit trusts within the stochastic discount framework

Jonathan Fletcher, David N. Forbes

Accounting And Finance

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

11 Citations (Scopus)

Abstract

We examine the performance of U.K. unit trusts between January 1982 and December 1996 within the stochastic discount factor approach across a wide class of models. No one model dominates the others in correctly pricing passive portfolios or detecting superior performance for hypothetical trading strategies. We find no evidence of significant superior performance by the unit trusts for any model of the stochastic discount factor. Also, the charges of the trust have a mixed effect on trust performance.

Original language	English
Pages (from-to)	289-306
Number of pages	17
Journal	Journal of Financial Research
Volume	27
Issue number	2
DOIs	https://doi.org/10.1111/j.1475-6803.2004.00084.x
Publication status	Published - Jun 2004

Keywords

performance evaluation
UK
unit trusts
stochastic discount framework
trading strategies

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10.1111/j.1475-6803.2004.00084.x

Cite this

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KW - stochastic discount framework

KW - trading strategies

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Performance evaluation of UK unit trusts within the stochastic discount framework

Abstract

Keywords

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