An empirical examination of UK emerging market unit trust performance

Ernest Abel; Jonathan Fletcher

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An empirical examination of UK emerging market unit trust performance

机译：对英国新兴市场单位信托表现的实证研究

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We examine the unconditional performance of UK unit trusts with emerging market equity objectives between January 1993 and December 2003 using 13 candidate models of the stochastic discount factor. No one stochastic discount factor model dominates the others in pricing passive trading strategies or detecting significant superior performance. There is no evidence of significant superior performance by trusts. The average (median) trust does not earn sufficient returns to cover expenses and trading costs. These findings are robust across all the stochastic discount factor models.

机译：我们使用13种随机贴现因子候选模型研究了具有新兴市场股票目标的英国单位信托的无条件表现。在定价被动交易策略或检测出明显的卓越绩效时，没有一种随机折现因子模型在其他模型中占主导地位。没有证据表明信托有明显的卓越表现。平均（中位）信托无法获得足够的回报来支付费用和交易成本。这些发现在所有随机折现因子模型中都是可靠的。

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来源
《Emerging markets review》 |2004年第4期|p.389-408|共20页
作者
Ernest Abel; Jonathan Fletcher;
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作者单位

Open University in Tanzania, Tanzania;

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原文格式 PDF
正文语种 eng
中图分类贸易经济;
关键词
emerging market funds; performance;

机译：新兴市场基金;表现;

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An empirical examination of UK emerging market unit trust performance

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