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2010 | 20 | 2 | 91-106
Article title

Three-factor market-timing models with Fama and French’s spread variables

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EN
Abstracts
EN
The traditional performance measurement literature has attempted to distinguish security selection, or stock-picking ability, from market-timing, or the ability to predict overall market returns. However, the literature finds that it is not easy to separate ability into such dichotomous categories. Some researchers have developed models that allow the decomposition of manager performance into market-timing and selectivity skills. The main goal of this paper is to present modified versions of classic market-timing models with Fama and French’s spread variables SMB and HML, in the case of Polish equity mutual funds.
Year
Volume
20
Issue
2
Pages
91-106
Physical description
Contributors
  • Faculty of Computer Science, Bialystok University of Technology, ul. Wiejska 45A, 15-351 Białystok, Poland
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-1be2558b-f6d8-4079-acea-6b6c308847cf
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