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2010 | 11(XI) | nr 1 | 128--138
Tytuł artykułu

Orthogonalized Factors in Market-Timing Models of Polish Equity Funds

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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. (original abstract)
Twórcy
  • Politechnika Białostocka
Bibliografia
  • Adkins L.C. (2009) Using Gretl for Principles of Econometrics, Third edition, Version 1.31, July 20.
  • Bollen N. P. B., Busse J.A. (2001) On the timing ability of mutual fund managers, The Journal of Finance, 56 (3), pp. 1075-1094.
  • Busse J.A. (1999) Volatility timing in mutual funds: evidence from daily returns, The Review of Financial Studies, Vol. 12, No. 5, pp. 1009-1041.
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  • Fama E.F., French K.R. (1993) Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, pp. 3-56.
  • Henriksson R., Merton R. (1981) On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills, Journal of Business, 54, pp. 513-533.
  • Henriksson R. (1984) Market timing and mutual fund performance: an empirical investigation, Journal of Business, 57, pp. 73-96.
  • Jensen M. (1968) The performance of mutual funds in the period 1945-1964, Journal of Finance, 23, pp. 389-416.
  • Kufel T. (2009) Ekonometria. Rozwiązywanie problemów z wykorzystaniem programu Gretl, PWN, Warszawa.
  • Maddala G.S. (2008) Ekonometria, PWN, Warszawa.
  • Marshall B.R., Young M. (2003) Liquidity and stock returns in pure order-driven markets: evidence from the Australian stock market, International Review of Financial Analysis, 12, 173-188.
  • Merton R. (1981) On market timing and investment performance. I. An equilibrium theory of value for market forecasts, Journal of Business, 54, 363-406.
  • Olbryś J. (2010) Three-factor market-timing models with Fama an French spread variables, Badania Operacyjne i Decyzje, 2/2010, in progress.
  • Olbryś J. (2008a) Parametric tests for timing and selectivity in Polish mutual fund performance, Optimum. Studia Ekonomiczne, Wydawnictwo Uniwersytetu w Białymstoku, 3(39), pp. 107-118.
  • Olbryś J. (2008b) Ocena umiejętności stosowania strategii market-timing przez zarządzających portfelami funduszy inwestycyjnych a częstotliwość danych, Studia i Prace Wydziału Nauk Ekonomicznych i Zarządzania 10, Uniwersytet Szczeciński, pp. 96-105.
  • Romacho J. C., Cortez M. C. (2006) Timing and selectivity in Portuguese mutual fund performance, Research in International Business and Finance, 20, 348-368.
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Bibliografia
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