题名

EVALUATING U.K. INVESTMENT TRUST PERFORMANCE USING NO ARBITRAGE BOUNDS

DOI

10.6291/AIAPM.2016.07.02

作者

Jonathan Fletcher；Andrew Marshall

关键词

No Arbitrage Bounds ； Stochastic Discount Factor ； Investment Trusts

期刊名称

Advances in Investment Analysis and Portfolio Management

卷期/出版年月

7期（2016 / 03 / 01）

页次

9 - 41

内容语文

英文
英文摘要

We use the no arbitrage (NA) performance bounds of Ahn, Cao, and Chrétien (2009) to evaluate the performance, in terms of value added, of U.K. investment trusts with domestic equity objectives. We find that the value added by trusts is sensitive to the NA admissible stochastic discount factor model used. We find that some portfolios of trusts and individual trusts add significant value to the investor class most favorable to the trust. The size of the trust, the level of the discount, and the age of the trust all have a significant impact on the value added. Our results suggest that some investment trusts add value at least from the perspective of the investor class most favorable to the trusts.
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
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