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2010 | 11 | 1 | 128-138
Article title

Orthogonalized factors in market-timing models of Polish equity funds

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EN
Abstracts
EN
The main goal of this paper is to examine the influence of factor orthogonalization in modified versions of classic market-timing models with the Fama and French spread variables SMB and HML, which have been introduced in [Olbryś 2010]. We construct the orthogonal market factors using the Busse procedure [Busse 1999]. The market-timing and selectivity abilities of 15 equity open-end mutual funds have been evaluated for the period January 2003 – December 2009 based on the panel data estimation using the SUR method. We compare the regression results of the models with common and orthogonal market factors and investigate their statistical properties.
Year
Volume
11
Issue
1
Pages
128-138
Physical description
Dates
published
2010
Contributors
References
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  • 15. Olbryś J. (2008a) Parametric tests for timing and selectivity in Polish mutual fund performance, Optimum. Studia Ekonomiczne, Wydawnictwo Uniwersytetu w Białymstoku, 3(39), pp. 107-118.
  • 16. Olbryś J. (2008b) Ocena umiejętności stosowania strategii market-timing przez zarządzających portfelami funduszy inwestycyjnych a częstotliwość danych, Studia i Prace Wydziału Nauk Ekonomicznych i Zarządzania 10, Uniwersytet Szczeciński, pp. 96-105.
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Document Type
Publication order reference
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YADDA identifier
bwmeta1.element.desklight-d40f53d2-b8fe-4045-a946-9652299b391e
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