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Performance of UK Investment Trusts: 1980–1994
Author(s) -
Bangassa Kenbata
Publication year - 1999
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00290
Subject(s) - diversification (marketing strategy) , investment (military) , sample (material) , economics , index (typography) , excess return , econometrics , investment performance , monetary economics , business , actuarial science , financial economics , return on investment , microeconomics , marketing , paleontology , chemistry , context (archaeology) , chromatography , production (economics) , politics , world wide web , political science , computer science , law , biology
This study investigates the selectivity and timing performance of a large sample (79) of UK investment trusts over a long period (15 years) by applying a number of models. There are few studies in this area in the UK. It is often argued that investors hold investment trust shares to obtain diversification and managerial skills. Managerial skill, if present, should be observed in the form of superior selectivity and timing performance measures. The general decline in the level of discount observed in the industry over the sample period suggests that excess returns could be obtained by holding investment trusts shares. We use single index and multifactor models for the analysis. Positive but statistically insignificant, selectivity estimates and negative, and at times significant, timing estimates are observed.