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Exploring the Conditional Performance of U.K. Unit Trusts

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Author Info
Jonathan Fletcher ()
Patricia Ntozi-Obwale
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File URL: http://hdl.handle.net/10.1007/s10693-009-0061-z
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Publisher Info
Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 36 (2009)
Issue (Month): 1 (August)
Pages: 21-44
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:jfsres:v:36:y:2009:i:1:p:21-44

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Web page: http://www.springerlink.com/link.asp?id=102934

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Conditional performance; Stochastic discount factor; Linear factor models; Unit trusts; G11; G12;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Pastor, Lubos & Stambaugh, Robert F., 2002. "Mutual fund performance and seemingly unrelated assets," Journal of Financial Economics, Elsevier, vol. 63(3), pages 315-349, March. [Downloadable!] (restricted)
    Other versions:
  3. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March. [Downloadable!] (restricted)
  4. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February. [Downloadable!] (restricted)
  5. Ross, Stephen A, 1978. "A Simple Approach to the Valuation of Risky Streams," Journal of Business, University of Chicago Press, vol. 51(3), pages 453-75, July. [Downloadable!] (restricted)
  6. Wayne Ferson & Tyler R. Henry & Darren J. Kisgen, 2006. "Evaluating Government Bond Fund Performance with Stochastic Discount Factors," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 19(2), pages 423-455. [Downloadable!] (restricted)
  7. Hodrick, Robert J. & Zhang, Xiaoyan, 2001. "Evaluating the specification errors of asset pricing models," Journal of Financial Economics, Elsevier, vol. 62(2), pages 327-376, November. [Downloadable!] (restricted)
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  8. Mark M. Carhart & Jennifer N. Carpenter & Anthony W. Lynch & David K. Musto, 2002. "Mutual Fund Survivorship," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 15(5), pages 1439-1463.
  9. Stambaugh, Robert F., 1997. "Analyzing investments whose histories differ in length," Journal of Financial Economics, Elsevier, vol. 45(3), pages 285-331, September. [Downloadable!] (restricted)
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  10. Chen, Zhiwu & Knez, Peter J, 1996. "Portfolio Performance Measurement: Theory and Applications," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 9(2), pages 511-55. [Downloadable!] (restricted)
  11. Heber Farnsworth, 2002. "Performance Evaluation with Stochastic Discount Factors," Journal of Business, University of Chicago Press, vol. 75(3), pages 473-504, July. [Downloadable!]
  12. Christopherson, Jon A & Ferson, Wayne E & Glassman, Debra A, 1998. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 11(1), pages 111-42.
    Other versions:
  13. Harry Mamaysky & Matthew Spiegel & Hong Zhang, 2008. "Estimating the Dynamics of Mutual Fund Alphas and Betas," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(1), pages 233-264, January. [Downloadable!] (restricted)
  14. Weimin Liu & Norman Strong, 2008. "Biases in Decomposing Holding-Period Portfolio Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(5), pages 2243-2274, September. [Downloadable!] (restricted)
  15. Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  16. Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-61, June. [Downloadable!] (restricted)
  17. John H. Cochrane, 2008. "The Dog That Did Not Bark: A Defense of Return Predictability," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(4), pages 1533-1575, July. [Downloadable!] (restricted)
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  18. Shumway, Tyler, 1997. " The Delisting Bias in CRSP Data," Journal of Finance, American Finance Association, vol. 52(1), pages 327-40, March. [Downloadable!] (restricted)
  19. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(4), pages 553-80. [Downloadable!] (restricted)
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