Abstract
This paper indirectly tests the efficient markets hypothesis by analysing the performance of 30 authorised unit trusts from 1980 through 1989. The risk-return relationship of the funds is allowed to vary in a generalised manner thus allowing for passive structural change in underlying economic relationships. Our findings suggest that 21 of the 30 trusts in the sample were able to supply investment opportunities to the individual investor which were superior to a buy-and-hold strategy.
| Original language | English |
|---|---|
| Pages (from-to) | 1015-1033 |
| Journal | Journal of Banking and Finance |
| Volume | 16 |
| Issue number | 5 |
| DOIs | |
| Publication status | Published - Sept 1992 |
Keywords
- Kalman filter
- unit trusts
- efficient markets
- mutual fund performance
- investment performance
- systematic risk
- selectivity
- behavior
- tests