| Author: | Fletcher, J. Marshall, A. |
| Title: | The performance of UK international unit trusts |
| Journal: | European Financial Management
2005 : JUN, VOL 11:3, p. 365-386 |
| Index terms: | Stock markets Securities Unit trusts Performance appraisal United Kingdom |
| Language: | eng |
| Abstract: | This study evaluates the performance of U.K. unit trusts with international equity objectives btw. Jan. 1985 and Dec. 2000 relative to domestic benchmark strategies. Performance measures used are based on Jensen (1968), Ferson and Schadt (1996), and the Chen and Knez (1996) law of one price (LOP). More favourable trust performance are found using the Jensen and Ferson and Schadt measures relative to the LOP measure. There is evidence of inferiour performance by some international trusts using the unconditional LOP measure. The charges and investment sector of the trust also has an impact on the performance of the trusts using the LOP measure. |
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