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

• Authors: Joanna OLBRYŚ
• Languages of publication: 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.

Keywords

EN

mutual funds; performance evaluation; market-timing; selectivity; mimicking portfolios

• Publisher: Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
• Journal: Operations Research and Decisions
• Year: 2010
• Volume: 20
• Issue: 2
• Pages: 91-106

Contributors

author

Joanna OLBRYŚ

• Faculty of Computer Science, Bialystok University of Technology, ul. Wiejska 45A, 15-351 Białystok, Poland

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