Persistence in unit trust performance in New Zealand
Borrie, Belinda
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Cite this item:
Borrie, B. (1999, February 21). Persistence in unit trust performance in New Zealand (Thesis). Retrieved from http://hdl.handle.net/10523/1381
Permanent link to OUR Archive version:
http://hdl.handle.net/10523/1381
Abstract:
The efficient market hypothesis states that past performance should be no predictor of future performance. I test this using free from survivorship bias, a sample of all New Zealand unit trusts in existence from 1987-1998. Almost no evidence of performance persistence is found over this period, suggesting that the efficient market hypothesis does hold for my sample. In the 1997-1998 period, marginal evidence of persistence was found, but none for other periods. I have focused on the top performing unit trusts to establish if it is possible to pick a winning trust to invest in based on past performance. Different categories of New Zealand unit trusts are incorporated in this study, and no category appears to have significantly better or worse returns than the others, and most unit trusts perform better than the 'market', on average.
Date:
1999-02-21
Degree Discipline:
Finance
Pages:
34
Keywords:
New Zealand unit trusts; 1987-1998; returns; performance persistence; Efficient market hypothesis
Research Type:
Thesis
Collections
- Thesis - Masters [3332]
- Accountancy and Finance [262]