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Prof Jonathan Fletcher

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Contact Details

Prof Jonathan Fletcher

professor

Curran Building

j.fletcher@strath.ac.uk

Tel : +44 (0)141 548 4963

Profile

Research Interests

My research interests are in three main areas.  First, the evaluation of managed fund performance.  Second, the evaluation of financial asset pricing models. Third, issues in portfolio choice.

 


Editorships and participation in editorial boards or conference organisation

  • Associate Editor - Financial Review

Refereed Publications

Fund Performance

  1. "An Examination of the Selectivity and Market Timing Performance of UK unit Trusts", Journal of Business    Finance and Accounting, 1995, pp 143-156.

  2. "The Evaluation of Managed Fund Performance", British Accounting Review, 1995, pp 127-138.

  3. "An Examination of UK Unit Trust Performance within the Arbitrage Pricing Theory Framework", Review of Quantitative Finance and Accounting, 1997, pp 91-107.

  4. "The Evaluation of UK American Unit Trust Performance", International Review of Economics and Finance, 1999, 8, 455-466.

  5. "UK unit trust performance: Does it matter which benchmark or measure is used?", Journal of Financial Services Research, 2002, 21, 195-218. (with D. Forbes).

  6. "An investigation of the impact of derivative use on the risk and performance of UK unit trusts", Financial Services Review, 2002, 11, 173-187. (with D. Forbes and A. Marshall)

  7. "An exploration of the persistence of UK unit trust performance", Journal of Empirical Finance, 2002, 9, 475-494. (With D. Forbes).

  8. "Performance evaluation of UK unit trusts within the stochastic discount framework, Journal of Financial Research, 2004, 27, 289-306 (With D. Forbes)

  9. "An empirical examination of U.K. emerging market unit trust performance", Emerging Markets Review, 2004, 5, 389-408. (with E. Abel).

  10. "An empirical examination of UK international unit trust performance," Journal of Financial Services Research, 2005, 27, 183-206.(with A.Marshall).

  11. "The performance of U.K. international unit trusts", European Financial Management, 2005, 11, 365-386. (with A. Marshall)

  12. "An exploration of the conditional market timing performance of U.K. unit trusts,  Journal of Business Finance and Accounting, 2006, 33, 816-838. (with P. Ntozi and A. Byrne)

  13. "Is international trust performance predictable over time?: A Note", Accounting and Finance, 2008, 48, 123-132. (with A. Marshall).

  14. "Arbitrage bounds and U.K. unit trust performance", Journal of Business Finance and Accounting, 2008, 35, 580-600 (with P. Ntozi-Obwale).

Asset Pricing

  1. "The Mean-Variance Efficiency of Benchmark Portfolios: UK Evidence", Journal of Banking and Finance, 1994, pp 673-685.

  2. "An Examination of the Cross-Sectional Relationship of Beta and Return: UK Evidence", Journal of Economics and Business, 1997, pp 211-221.

  3. "An Examination of the Capital Asset Pricing Model Applied to UK Stock Returns" -  with Advances in Investment Analysis and Portfolio Management, 1999, 55-69.

  4. "On the conditional relationship between beta and return in international stock returns", International Review of Financial Analysis, 2000, 235-245.

  5. "An examination of alternative factor models in UK stock returns", Review of Quantitative Finance and Accounting, 2001, 16, 117-130.

  6. "An examination of predictable risk and return in UK stock returns", Journal of Economics and Business, 2001, 53, 527-546.

  7. "An examination of conditional asset pricing in UK stock returns", The Financial Review, 2002, 37, 447-468.

  8. "An examination of alternative CAPM Based models in U.K. stock returns", Journal of Banking and Finance, 2005, 29, 2995-3014 (with J. Kihanda).

  9. "Can asset pricing models price idiosyncratic risk in U.K. stock returns?", Financial Review, 2007, 42, 507-535.

Portfolio Choice

  1. "An Investigation of Alternative Estimators of Expected Returns in Mean-Variance Analysis", Journal of Financial Research, 1997, pp 129-143.

  2. "An examination of resampled portfolio efficiency", Financial Analysts Journal, 2001, 57, 66-74. (with J. Hillier)

  3. "On the usefulness of linear factor models in predicting expected returns in mean-variance analysis", International Review of Financial Analysis, 2002, 11, 449-466. (with J. Hillier).

  4. "Characteristics versus covariances: An examination of domestic asset allocation strategies", 2002, Advances in Investment Analysis and Portfolio Management, 9, 251-271.

  5. "An examination of the economic significance of stock return predictability in UK stock returns", International Review of Economics and Finance, 2002, 11, 373-392. (with J. Hillier)

  6. "An examination of linear factor models in country equity asset allocation strategies", Quarterly Review of Economics and Finance, 2005, 45, 808-823. (with J. Hillier).

  7. "An empirical examination of the benefits of international diversification", Journal of International Financial Markets, Institutions and Money, 2005,15, 455-468 (with A. Marshall).

Event Studies

  1. "The relevance of financial reporting: Further UK evidence", Irish Accounting Review, 2003, 10, no 2, 13-27.

Other Publications

  1. "Evaluating fund performance within the stochastic discount factor approach", Encyclopedia in Finance, 2006, Editor C.F. Lee and A.C. Lee (Springer), 405-414.

Research Grants

1997, £5,000 from the Institute of Quantitative Investment Research (INQUIRE UK).  This project examined the impact of different benchmarks and performance measures on the evaluation of UK unit trust performance.  The research results were published in the Journal of Financial Services Research.

2001, £8,000 from Institute of Quantitative Investment Research (INQUIRE UK).  This project is with A.Marshall and evaluates the performance of international unit trusts. This project is part of my current research activities. The project has been completed. The research for this project has been published in Journal of Financial Services Research, European Financial Management, Journal of International Financial Markets and Institutions, and Accounting and Finance.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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