Persistence in Unit Trust Performance in New Zealand: Is the Past a Window to the Future?

27 Pages Posted: 29 Sep 1999

See all articles by Richard B. Boebel

Richard B. Boebel

affiliation not provided to SSRN

Belinda Borrie

University of Otago

Date Written: July 1999

Abstract

The efficient market hypothesis states that past performance should not be a predictor of future performance. We test this using 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 within our sample. In the 1997-1998 period, marginal evidence of persistence was found, but none for other periods. We have focused on the top performing unit trusts to establish if it is possible to pick a winning trust 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 any others.

JEL Classification: G11, G14, G23

Suggested Citation

Boebel, Richard B. and Borrie, Belinda, Persistence in Unit Trust Performance in New Zealand: Is the Past a Window to the Future? (July 1999). Available at SSRN: https://ssrn.com/abstract=179254 or http://dx.doi.org/10.2139/ssrn.179254

Richard B. Boebel (Contact Author)

affiliation not provided to SSRN

Belinda Borrie

University of Otago ( email )

P.O. Box 56
Dunedin, Otago 9010
New Zealand