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

Article Abstract:

The performance of 30 UK unit trusts with the permission of market risk variance is indirectly analysed for the 1980s. Econometric analysis using the capital asset pricing model allows time-varying elements to surface in the maximum likelihood estimates of systematic portfolio risk (beta). Results show that betas vary over time which would affect assessment of unit trust performance. The majority of UK unit trusts are found to have enabled investors to avail of higher risk-adjusted returns for the period covered than those from passive, broad-based portfolio of shares.

National commercial banks, United Kingdom, Banking industry, Economic aspects, Services, Mutual funds

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Firm characteristics and the impact of emerging market liberalizations

Article Abstract:

A study of the effect of capital market liberalization in 18 emerging markets is presented. It is observed that the stock returns increase during liberalization. The dividend yields and mean returns decrease after liberalization. It is also noted that the exposure to world markets exceeds the exposure to local markets after liberalization, which in turn helps in predicting the asset pricing as per international models. The impact of foreign exchange risks, local risks etc., on liberalization is also discussed.

Deregulation

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Asymmetric return dynamics and technical trading strategies

Article Abstract:

Various nonlinear autoregressive models are presented to examine the possible connection between the asymmetric return property of stock returns and profitability of technical trading strategies in equity market.

Business, Business models

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