Arbitrage Bounds and UK Unit Trust Performance
使用Ahn等人(2003)的套利绩效边界，评估1988年1月至2002年12月英国单位信托的绩效，发现信托绩效对随机贴现因子敏感，且投资风格、规模、费用等均影响绩效。
Abstract: We use the arbitrage performance bounds of Ahn, Cao and Chretien (2003) to evaluate UK unit trust performance between January 1988 and December 2002. We find that trust performance is sensitive to the admissible stochastic discount factor used for both the average trust and the majority of individual trusts. The investment style, size, load charge, and annual charge of the trust all have an impact on trust performance. We find for some trusts, the Jensen (1968) and Ferson and Schadt (1996) measures do not satisfy arbitrage bounds by the base assets.