Orthogonalized factors in market-timing models of Polish equity funds

• Authors: Joanna Olbryś
• Languages of publication: 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.

Keywords

EN

mutual fund; multifactor market-timing model; orthogonalized factor; SUR method

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2010
• Volume: 11
• Issue: 1
• Pages: 128-138

Dates

published

2010

Contributors

author

Joanna Olbryś

• Department of Informatics, Bialystok University of Technology

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