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  1. 1 Optimum. Studia Ekonomiczne

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  1. 1 Olbrys J.

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  1. 1 2010

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

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Olbrys J.
Optimum. Studia Ekonomiczne
|
2010
|
issue 4 (48)
44-61
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.
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