Arch Effects in Multifactor Market-Timing Models of Polish Mutual Funds
نویسندگان
چکیده
منابع مشابه
A Review of Mutual Investment Funds Performance with a View of Market Timing
Appropriate function of active management in common investment funds function depend on factors such as diversification, identification papers unrealistic pricing, market timing, and so on. Market timing are include changing the portfolio investment funds and market indices such as short-term bonds and make an asset depends on whether the market is expected in the whole of the assets to make be...
متن کاملstudy of security selection and market timing abilities in mutual funds in iranian capital market
this study is an attempt to apply the market timing andsecurity selection models to evaluate the performance of iranianmutual funds. the research shed light on the questions of ‘howsuccessful are mutual funds in earning excess returns over those of themarket?’ ‘do the excess returns during research period have anymeaningful trend for these financial intermediaries or is it the result ofthe abil...
متن کاملa review of mutual investment funds performance with a view of market timing
appropriate function of active management in common investment funds function depend on factors such as diversification, identification papers unrealistic pricing, market timing, and so on. market timing are include changing the portfolio investment funds and market indices such as short-term bonds and make an asset depends on whether the market is expected in the whole of the assets to make be...
متن کاملActive Timing Decisions of Equity Mutual Funds
In this paper we examine an aspect ofprofessional investment management which has not been adequately documented and studied; the extent to which equity mutualfund managers actively adjust their portfolio’s equity risk evosure over time. Estimates of a portfolio’s quarter-end beta are developed using the actual stock ho~~gs oft~~~ol~ at the quarter-end. Changes in these beta estimates fivm one ...
متن کاملRuns on Money Market Mutual Funds∗
This paper studies daily investor flows to and from each money market mutual fund during the period surrounding and including the money fund crisis of September 2008. We focus on the determinants of flows in the prime money fund category to shed light on the covariates of money fund runs, since this category was, by far, the most heavily impacted by the money fund crisis. We find that outflows ...
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ژورنال
عنوان ژورنال: Folia Oeconomica Stetinensia
سال: 2012
ISSN: 1898-0198,1730-4237
DOI: 10.2478/v10031-011-0022-1