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| Author: | Fletcher, J. Forbes, D. |
| Title: | An exploration of the persistence of UK unit trust performance |
| Journal: | Journal of Empirical Finance
2002 : DEC, VOL. 9:5, p. 475-493 |
| Index terms: | Stock markets Unit trusts Performance appraisal United Kingdom Europe |
| Language: | eng |
| Abstract: | This paper examines the persistence in UK unit trust performance btw. January 1982 and December 1996. Significant persistence is found in the relative rankings of trusts using different performance measures. It is also found significant persistence in the performance of portfolios of trusts, formed on the basis of prior year excess returns, when performance is evaluated relative to models based on the capital asset pricing model (CAPM) or arbitrage pricing theory (APT). However this persistence is eliminated when performance is evaluated relative to a model similar to Carhart in Journal of Finance (1997): 52, 57. Using a conditional performance measure leads to significant reversals in performance with this model. |
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