Is Mutual Fund Performance Persistent? Evidence From the Polish Market

• Autorzy: Adam Zaremba
• Języki publikacji: PL

Abstrakty

EN

The paper addresses an issue of the performance persistence in a mutual fund market. The study focuses especially on the evidence from Poland. The past performance of mutual funds is widely regarded as a key criterion in investment decision making in Poland nowadays, whereas existing empirical evidence does not confirm its predictive power. The paper consists of three main parts. The first is a review of existing academic evidence of the performance persistence. The second is the analysis of the performance persistence among Polish equity and money market funds in years 1998-2009. Three methods of analysis are employed: quartile analysis, raw-data correlation and rank correlation. The last section of the article consists of conclusions and recommendations. The study confirms existence of the persistence in raw returns and risk-adjusted returns among the Polish money market funds but not among the equity funds. There is also a strong evidence of the volatility persistence in the both group of mutual funds.(original abstract)

Słowa kluczowe

PL

Rynki finansowe

EN

Financial markets

• Czasopismo: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia
• Rocznik: 2010
• Numer: nr 25
• Strony: 155--164

Twórcy

autor

Adam Zaremba

• Poznań University of Economics, Poland

Bibliografia

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