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UK unit trust performance 1980-1989: A passive time-varying approach

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Cited by:

  1. Esteban González, María Victoria & Orbe Mandaluniz, Susan, 2006. "Nonparametric estimation betas in the Market Model," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  2. Anders Johansson, 2009. "An analysis of dynamic risk in the Greater China equity markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 7(3), pages 299-320.
  3. Taufiq Choudhry & Hao Wu, 2008. "Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 670-689.
  4. Anders Johansson, 2009. "Stochastic volatility and time-varying country risk in emerging markets," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 337-363.
  5. Robert D. Brooks & Robert W. Faff & Michael D. McKenzie, 1998. "Time†Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques," Australian Journal of Management, Australian School of Business, vol. 23(1), pages 1-22, June.
  6. Richard Heaney & Terry Hallahan & Thomas Josev & Heather Mitchell, 2007. "Time-Changing Alpha? The Case of Australian International Mutual Funds," Australian Journal of Management, Australian School of Business, vol. 32(1), pages 95-112, June.
  7. Kalima, Bwalya & Gopane, Thabo, 2022. "Portfolio performance under dynamic systematic risk and conditional betas: The South African unit trust market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 85-98.
  8. Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2019. "The Memory of Beta Factors," Hannover Economic Papers (HEP) dp-661, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  9. Maik Eisenbeiss & Goran Kauermann & Willi Semmler, 2007. "Estimating Beta-Coefficients of German Stock Data: A Non-Parametric Approach," The European Journal of Finance, Taylor & Francis Journals, vol. 13(6), pages 503-522.
  10. N. Kreander & R.H. Gray & D.M. Power & C.D. Sinclair, 2005. "Evaluating the Performance of Ethical and Non‐ethical Funds: A Matched Pair Analysis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7‐8), pages 1465-1493, September.
  11. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
  12. Patricia Fraser, 1995. "Returns and firm size: A note on the UK experience 1970-1991," Applied Economics Letters, Taylor & Francis Journals, vol. 2(10), pages 331-334.
  13. N. Groenewold & P. Fraser, 1999. "Forecasting Beta: How well does the 'five year rule of thumb' do?," Economics Discussion / Working Papers 99-01, The University of Western Australia, Department of Economics.
  14. Buckland, Roger & Fraser, Patricia, 2002. "The scale and patterns of abnormal returns to equity investment in UK electricity distribution," Global Finance Journal, Elsevier, vol. 13(1), pages 39-62.
  15. Marrero, Gustavo A. & Puch, Luis A. & Ramos-Real, Francisco J., 2015. "Mean-variance portfolio methods for energy policy risk management," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 246-264.
  16. Brooks, Robert D. & Faff, Robert W. & Yew, Kee Ho, 1997. "A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 197-219, February.
  17. Nath, H. (Mindi) B. & Kim, Jae H. & Brooks, Robert D., 2012. "Realized dual-betas for leading Australian stocks: An evaluation of the estimation methods and the effect of the sampling interval," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 10-22.
  18. Manuel Ammann & Sebastian Fischer & Florian Weigert, 2018. "Risk Factor Exposure Variation and Mutual Fund Performance," Working Papers on Finance 1817, University of St. Gallen, School of Finance, revised Nov 2018.
  19. Zhou, Jian, 2013. "Conditional market beta for REITs: A comparison of modeling techniques," Economic Modelling, Elsevier, vol. 30(C), pages 196-204.
  20. Shukla, Ravi K. & van Inwegen, Gregory B., 1995. "Do locals perform better than foreigners?: An analysis of UK and US mutual fund managers," Journal of Economics and Business, Elsevier, vol. 47(3), pages 241-254, August.
  21. Hudson, Yawen & Yan, Meilan & Zhang, Dalu, 2020. "Herd behaviour & investor sentiment: Evidence from UK mutual funds," International Review of Financial Analysis, Elsevier, vol. 71(C).
  22. Groenewold, Nicolaas & Fraser, Patricia, 1999. "Time-varying estimates of CAPM betas," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 531-539.
  23. Yunmi Kim, 2012. "Autoregressive conditional beta," Economics Bulletin, AccessEcon, vol. 32(2), pages 1489-1494.
  24. Ammann, Manuel & Fischer, Sebastian & Weigert, Florian, 2020. "Factor exposure variation and mutual fund performance," CFR Working Papers 20-06, University of Cologne, Centre for Financial Research (CFR).
  25. Insana, Alessandra, 2022. "Does systematic risk change when markets close? An analysis using stocks’ beta," Economic Modelling, Elsevier, vol. 109(C).
  26. George Matysiak & Gerald Brown, 1997. "A time-varying analysis of abnormal performance of UK property companies," Applied Financial Economics, Taylor & Francis Journals, vol. 7(4), pages 367-377.
  27. N. Kreander & R.H. Gray & D.M. Power & C.D. Sinclair, 2005. "Evaluating the Performance of Ethical and Non-ethical Funds: A Matched Pair Analysis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7-8), pages 1465-1493.
  28. Holmes, Kathryn A. & Faff, Robert, 2008. "Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 998-1011, December.
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