EconPapers    
Economics at your fingertips  
 

Investor Heterogeneity and the Cross-section of U.K. Investment Trust Performance

Jonathan Fletcher and Andrew Marshall (a.marshall@strath.ac.uk)

Journal of Financial Services Research, 2014, vol. 45, issue 1, 67-89

Abstract: We use the upper and lower bounds derived by Ferson and Lin ( 2010 ) to examine the impact of investor heterogeneity on the performance of U.K. investment trusts relative to alternative linear factor models. We find using the upper bounds that investor heterogeneity has an important impact for nearly all investment trusts. The upper bounds are large in economic terms and significantly different from zero. We find no evidence of any trusts where all investors agree on the sign of performance beyond what we expect by chance. Using the lower bound, we find that trusts with a larger disagreement about trust performance have a weaker relation between the trust premium and past Net Asset Value (NAV) performance. Copyright Springer Science+Business Media New York 2014

Keywords: Fund performance; Investor heterogeneity; Investment trusts; G11; G12 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10693-013-0159-1 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:jfsres:v:45:y:2014:i:1:p:67-89

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10693

DOI: 10.1007/s10693-013-0159-1

Access Statistics for this article

Journal of Financial Services Research is currently edited by Haluk Unal

More articles in Journal of Financial Services Research from Springer, Western Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla (sonal.shukla@springer.com) and Springer Nature Abstracting and Indexing (indexing@springernature.com).

 
Page updated 2024-12-28
Handle: RePEc:kap:jfsres:v:45:y:2014:i:1:p:67-89