Performance and performance persistance in South African General Equity unit trusts, a test of South African market efficiency

Over the last four decades academics have been concerned with both the factors effecting individual unit trust performance and whether this performance persists going forward. Whilst persistence in performance is of interest to unit trust investors from a practical perspective, it is also of interest to academics due to its inherent implications for the Efficient Markets Hypothesis (EMH). This study employs South African data based on a sample of 35 General Equity unit trusts over the six year period 1st January 1998 to 31 st December 2003. This study discusses both the EMH as well as factors that influence unit trust management style and associated performance. Using Jensen's alpha in both a Capital Asset Pricing Model (CAPM) framework and a 2-Factor Arbitrage Pricing Theory (APT) model, unconditional evidence is presented on the performance of General Equity unit trusts.

Grantor dc:publisher.institution

Department of Finance and Tax

Year dc:date.issued

2005

Author dc:creator

• Grey, James Peter

Advisor dc:contributor.advisor

• Van Rensburg, Paul

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/10573

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/10573