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Performance of Malaysian Equity Unit Trust : Selectivity

Raphy, Md. Radzi (2005) Performance of Malaysian Equity Unit Trust : Selectivity. Masters thesis, Universiti Utara Malaysia.

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Abstract

This study measures the performance of unit trusts in Malaysia by focusing on the selection abilities of fund managers in their effort to give better return to the investors. There were 41 equity unit trusts funds used as a sample for 120 months that is from 1995 until 2004. This study considers heteroscedasticity problems and therefore, the findings had been separated into two parts that is before and after correcting for heteroscedasticity problem. Negative selectivities are observed in ten funds before the adjustment of heteroscedasticity whereas when this problem has been corrected, there are eleven funds that show negative selectivities. The findings give an indication that the unit trusts funds in Malaysia are not able to give a better return to investors. Some of the fund managers do not have an ability to do better than those managers that are using the naive buy and hold strategy. This result is consistent to Shamsher et al. (2000), Firth (1997), Chang and Lewellen (1985) and Henriksson (1984), who conclude that the fund managers did not have an ability to select securities that can provide returns that are more than the market returns.

Item Type: Thesis (Masters)
Uncontrolled Keywords: Investment, Unit Trusts, Selection Abilities, Fund Managers, Malaysia
Subjects: H Social Sciences > HG Finance
Divisions: Faculty and School System > Faculty of Finance and Banking
Depositing User: Mrs Shamsiah Mohd Shariff
Date Deposited: 09 Feb 2010 01:37
Last Modified: 24 Jul 2013 12:11
URI: http://etd.uum.edu.my/id/eprint/1340

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