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

Jonathan Fletcher ； Andrew Marshall

《Advances in Investment Analysis and Portfolio Management》 7期 (2016/03) Pp. 9-41

https://doi.org/10.6291/AIAPM.2016.07.02

並列摘要

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.

並列關鍵字

No Arbitrage Bounds ； Stochastic Discount Factor ； Investment Trusts

參考文獻

Abhyankar, A.,Basu, D.,Stremme, A.(2012).The optimal use of return predictability: An empirical study.Journal of Financial and Quantitative Analysis.47,973-1001.

Ahn, D.-H.,Cao, H. H.,Chrétien, S.(2009).Portfolio performance measurement: A no arbitrage bounds approach.European Financial Management.15,298-339.

Aragon, G. O.,Ferson, W. E.(2006).Portfolio performance evaluation.Foundations and Trends in Finance.2,83-190.

Bansal, R.,Dittmar, R. F.,Lundblad, C. T.(2005).Consumption, dividends, and the cross section of equity returns.The Journal of Finance.60,1639-1672.

Bekaert, G.,Liu, J.(2004).Conditioning information and variance bounds on pricing kernels.The Review of Financial Studies.17,339-378.