Market-Timing and Selectivity Abilities of Polish Open-End Mutual Funds Managers

• Autorzy: Andrzej Karpio , Joanna Olbryś
• Języki publikacji: EN

Abstrakty

EN

The main goal of this paper is an empirical analysis of market - timing and selectivity skills of Polish open - end mutual funds managers. We apply the Henriksson & Merton (HM) (1981) model [7] for evaluating the forecasting abilities of investment managers. We use parametric statistical procedures based on the Merton market-timing model [12]. The market - timing and selectivity ability of 15 equity open-end mutual funds is evaluated for the period January 2003 - August 2007. (fragment of text)

Słowa kluczowe

EN

Open-ended investment companies; Investment funds; Econometric models; Market-timing

PL

Fundusze otwarte; Fundusze inwestycyjne; Modele ekonometryczne; Wyczucie rynku

• Czasopismo: Prace Naukowe / Akademia Ekonomiczna w Katowicach
• Rocznik: 2009
• Tom: Metody matematyczne, ekonometryczne i komputerowe w finansach i ubezpieczeniach 2007
• Strony: 437--443

Twórcy

autor

Andrzej Karpio

• Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

autor

Joanna Olbryś

• Politechnika Białostocka

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