SELECTED MULTIFACTOR MARKET-TIMING MODELS FOR MUTUAL FUND PERFORMANCE EVALUATION (Ocena efektywnosci zarzadzania portfelem funduszu inwestycyjnego z wykorzystaniem wybranych wieloczynnikowych modeli market timing)

• Authors: Olbrys Joanna
• Languages of publication: PL

Abstracts

EN

The aim of this paper is to compare modified multifactor market-timing models: the three factor model with the Fama and French spread variables SMB and HML, and the hybrid four-factor model with the additional factor that proxies for the monthly payoffs of a successful market timer. We examined the market-timing and selectivity abilities of selected 15 Polish equity open end mutual funds' managers using daily and monthly data from January 2003 to December 2009.

Keywords

EN

FAMA & FRENCH MIMICKING PORTFOLIOS; MULTIFACTOR MARKET-TIMING MODEL; MUTUAL FUNDS

Discipline

• ECONOMICS: ECONOMICS

• Journal: Optimum. Studia Ekonomiczne
• Year: 2010
• Issue: 4 (48)
• Pages: 44-61
• Document type: ARTICLE

Contributors

author

Olbrys Joanna

Identifiers

CEJSH db identifier

11PLAAAA094525