Czasopismo
2009
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Metody matematyczne, ekonometryczne i komputerowe w finansach i ubezpieczeniach 2007
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437--443
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
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)
Rocznik
Strony
437--443
Opis fizyczny
Twórcy
autor
- Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
autor
- Politechnika Białostocka
Bibliografia
- Bollen N.P.B., Busse J.A.: On the timing ability of mutual fund managers. "The Journal of Finance" 2001, Vol. LVI, No 3.
- Chang E., Lewellen W.: Market timing and mutual fund investment performance. "Journal of Business" 1984, No 57.
- Cheng-few Lee, Rahman S.: Market timing, selectivity, and mutual fund performance: an empirical investigation. "Journal of Business" 1990, Vol. 63, No 2.
- Connor G., Korajczyk R.A.: The attributes, behaviour and performance of US mutual funds. "Review of Quantitative Finance and Accounting" 1991, Vol. 1.
- Fama E.: Components of investment performance. "Journal of Finance" 1972, 27, No. 2.
- Fletcher J.: An examination of the selectivity and market timing performance of UK unit trusts. "Journal of Business Finance & Accounting" 1995, No 22.
- Henriksson R., Merton R.: On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. "Journal of Business" 1981, Vol. 54, No 4.
- Henriksson R.: Market timing and mutual fund performance: an empirical investigation. "Journal of Business" 1984, Vol. 63.
- Jensen M.: The performance of mutual funds in the period 1945-1964. "Journal of Finance" 1968, Vol. 23.
- Kao G., Cheng L., Chan K.: International mutual fund selectivity and market timing during up and down market conditions. "The Financial Review" 1998, No 33.
- Łapińska-Sobczak N. (red.): Opisowe modele ekonometryczne. Uniwersytet Łódzki, Łódź 1998.
- Merton R.: On market timing and investment performance. I. An equilibrium theory of value for market forecasts. "Journal of Business" 1981, Vol. 54, No 3.
- Rao S.: Market timing and mutual fund performance. "American Business Review" 2000, No 18.
- Rao S.: Mutual fund performance during up and down market conditions. "Review of Business" 2001, No 22.
- Romacho J.C., Cortez M.C.: Timing and selectivity in Portuguese mutual fund performance. "Research in International Business and Finance" 2006, No 20.
- Sharpe W.: Mutual fund performance. "Journal of Business" 1966, No 39.
- Treynor J.: How to rate management of investment funds. "Harvard Business Review" 1965, No 43.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171218165