Testowanie stabilności parametrów wieloczynnikowych modeli market-timing z opóźnioną zmienną rynkową
Testing for the stability of the parameters in multifactor market-timing models with lagged market variable

Summary/Abstract: As a continuation of research on the multifactor market-timing models, we have estimated new models with Fama and French’s variables (SMB, HML) and the Carhart’s factor (WML). The empirical results on the WSE show a pronounced Fisher effect (1966) in the case of the main WSE indexes. For this reason, we include lagged values of the market factor as an additional independent variable in the regressions of the models. The goal of this paper is to test for the stability of the parameters in the market-timing models. We test a group of 15 selected Polish equity open-end mutual funds in the period I 2003–XII 2010.

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