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Performance of UK Investment Trusts: 1980–1994

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  • Kenbata Bangassa

Abstract

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.

Suggested Citation

  • Kenbata Bangassa, 1999. "Performance of UK Investment Trusts: 1980–1994," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(9‐10), pages 1141-1168, November.
    • Handle: RePEc:bla:jbfnac:v:26:y:1999:i:9-10:p:1141-1168
    DOI: 10.1111/1468-5957.00290
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    Cited by:

    1. Alistair Byrne & Jonathan Fletcher & Patricia Ntozi, 2006. "An Exploration of the Conditional Timing Performance of UK Unit Trusts," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(5‐6), pages 816-838, June.
    2. Jonathan Fletcher & Patricia Ntozi‐Obwale, 2008. "Arbitrage Bounds and UK Unit Trust Performance," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(3‐4), pages 580-600, April.
    3. Samuel Agyei‐Ampomah & J. R. Davies, 2005. "Excess Volatility and UK Investment Trusts," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(5‐6), pages 1033-1062, June.

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