UK investment trusts: performance, timing and selectivity

References

• Admati , R.A. and Ross , S.A. 1985 . Measuring investment performance in a rational expectations equilibrium model . Journal of Business , 58 : 1 – 26 .
   Web of Science ®Google Scholar
• Admati , R.A. , Bhattacharya , S. , Pfleiderer , P. and Ross , S.A. 1986 . On timing and selectivity . Journal of Finance , 41 : 715 – 30 .
   Web of Science ®Google Scholar
• Chang , E.C. and Lewellen , W.G. 1984 . Market timing and mutual fund investment performance . Journal of Business , 57 : 57 – 71 .
   Web of Science ®Google Scholar
• Coggin , T.D. , Fabozzi , F.J. and Rahman , S. 1993 . The investment performance of US equity pension fund managers: an empirical investigation . Journal of Finance , XLVII : 1038 – 55 .
   Google Scholar
• Coggin , T.D. and Hunter , J.E. 1993 . A meta-analysis of mutual fund performance . Review of Quantitative Finance and Accounting , 3 : 189 – 201 .
   Google Scholar
• Connor , G. and Korajczyk , R.A. 1991 . The attributes, behaviour, and performance of US mutual funds . Review of Quantitative Finance and Accounting , 1 : 5 – 26 .
   Google Scholar
• Cumby , R.E. and Glen , J.D. 1990 . Evaluating the performance of international mutual funds . The Journal of Finance , XLV : 497 – 521 .
   Google Scholar
• Grant , D. 1977 . Portfolio performance and the cost of timing decisions . Journal of Finance , 32 : 837 – 46 .
   Web of Science ®Google Scholar
• Grinblatt , J.M. and Titman , S. 1989a . Mutual fund performance: an analysis of quarterly portfolio holdings . Journal of Business , : 393 – 16 .
   Google Scholar
• Grinblatt , J.M. and Titman , S. 1989b . Portfolio performance evaluation: old issues and new insights . Review of Financial Studies , 2 : 393 – 421 .
   Web of Science ®Google Scholar
• Grinblatt , J.M. and Titman , S. 1992 . The persistence of mutual fund performance . Journal of Finance , XLVII : 1977 – 84 .
   Google Scholar
• Henriksson , R.D. 1984 . Market timing and mutual fund performance: an empirical investigation . Journal of Business , 57 : 73 – 96 .
   Web of Science ®Google Scholar
• Henriksson , R.D. and Merton , R.C. 1981 . On market timing and investment performance II: statistical procedures for evaluating forecasting skills . Journal of Business , 54 : 513 – 33 .
   Web of Science ®Google Scholar
• Jagannathan , R. and Korajczyk , R.A. 1986 . Assessing the market timing performance of managed portfolios . Journal of Business , 59 : 217 – 35 .
   Web of Science ®Google Scholar
• Jensen , M.C. 1968 . The performance of mutual funds in the Period 1945–1964 . Journal of Finance , 23 : 389 – 416 .
   Web of Science ®Google Scholar
• Jensen , M.C. 1972 . “ Optimal utilization of market forecasts and the evaluation of investment portfolio performance ” . In Mathematical Methods in Investement and Finance , Edited by: Szego , G. and Shell , K. Amsterdam : North Holland .
   Google Scholar
• Klemkosky , R.C. and Martin , J.D. 1975 . The effect of market risk on portfolio diversification . Journal of Finance , 30 : 147 – 54 .
   Web of Science ®Google Scholar
• Lee , C.F. and Rahman , S. 1990 . Market timing, selectivity and mutual fund performance: impirical investigation . Journal of Business , 63 : 261 – 78 .
   Web of Science ®Google Scholar
• Pfleiderer, P. and Bhattacharya, S. (1983) A note on performance evaluation, Technical Report No. 714, Graduate School of Business, Stanford University.
   Google Scholar
• SHAZAM . 1993 . User's Reference Manual Version 7.0 , McGraw-Hill .
   Google Scholar
• Treynor , J.L. and Mazuy , K.K. 1966 . Can mutual funds outguess the market? . Harvard Business Review , 44 : 131 – 36 .
   Web of Science ®Google Scholar
• White , H. 1980 . Heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity . Econometrica , 48 : 817 – 38 .
   Web of Science ®Google Scholar