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An Exploration of the Conditional Timing Performance of UK Unit Trusts
Author(s) -
Byrne Alistair,
Fletcher Jonathan,
Ntozi Patricia
Publication year - 2006
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/j.1468-5957.2006.00617.x
Subject(s) - unit trust , benchmark (surveying) , unit (ring theory) , actuarial science , market timing , economics , econometrics , business , accounting , monetary economics , initial public offering , psychology , mathematics education , geodesy , market liquidity , geography
We examine the conditional market timing performance of UK unit trusts between January 1988 and December 2002. We find no evidence of superior conditional market timing performance by UK unit trusts either across different portfolios of trusts or by individual trusts. We also find that benchmark investing is significant for UK unit trusts and trusts have high numerical risk aversion to deviations from the benchmark. Our findings suggest that UK trusts act like benchmark investors.