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The Performance of UK International Unit Trusts
Author(s) -
Fletcher Jonathan,
Marshall Andrew
Publication year - 2005
Publication title -
european financial management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.311
H-Index - 64
eISSN - 1468-036X
pISSN - 1354-7798
DOI - 10.1111/j.1354-7798.2005.00288.x
Subject(s) - unit trust , equity (law) , accounting , measure (data warehouse) , unit (ring theory) , actuarial science , economics , business , econometrics , finance , mathematics , computer science , law , political science , mathematics education , database , market liquidity
We evaluate the performance of UK unit trusts with international equity objectives between January 1985 and December 2000 relative to domestic benchmark strategies. We use performance measures based on Jensen (1968) , Ferson and Schadt (1996) , and the Chen and Knez (1996) law of one price (LOP). We find more favourable trust performance using the Jensen and Ferson and Schadt measures relative to the LOP measure. There is evidence of inferior 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 .