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• W2051569144 abstract "Both the micro ability to stock selecting and market timing are important to fund managers. Traditional measures for mutual funds performances are very sensitive with the bias, resulting from the variation of risk and risk-premium with time. In order to balance these kinds of variations, lagged public information factors may be helpful. Including short-range UK Treasury Bill (Rf) and dividend yields (DY), different fund returns are predicted with additional information. This paper empirically estimate the average performance of 68 UK close-end mutual funds invested in domestic market over a meaningful decade-period from 2000 to 2010, applying the traditional and conditioning versions of capital asset pricing model and Fama-French model. Meanwhile, Jensen's (1968) traditional strategy and conditional measure of Ferson and Schadt (1996) are involved followed by a set of time-series regressions in order to compare different measure's significance in T test and F test. The findings are that CAPM not only has higher fitness butt also decreases the minus bias of market timing when adds conditional information. However, FF models show contrast evaluation and unexpected inferior outlets based on UK mutual funds between 2000 and 2010." @default.
• W2051569144 created "2016-06-24" @default.
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• W2051569144 date "2014-08-01" @default.
• W2051569144 modified "2023-09-26" @default.
• W2051569144 title "Study on fund performance to various measures: Evidence from UK market" @default.
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• W2051569144 doi "https://doi.org/10.1109/icmse.2014.6930395" @default.
• W2051569144 hasPublicationYear "2014" @default.
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