Testowanie silnej efektywności informacyjnej rynku polskich funduszy emerytalnych
Testing of the Strong Information Effectiveness of Polish Pension Funds’ Market

Summary/Abstract: Purpose – The main goal of the investigation was the answer to the question about the strong information effectiveness of pension funds just before and just after the changes of the legal rules. Design/Methodology/approach – The whole period was divided into two sub-periods: January 2012 – January 2014 and February 2014 – February 2016. The Treynor-Mazuy and Henriksson-Merton’s models were created and the coefficients were estimated applying weekly rates of return. Findings – The obtained results for both sub-periods were compared, what allows to conclude that coefficients of market – timing and asset’s selectivity just before and just after the changing of the legal rules were statistically insignificant for the more funds. So, the passive way of the managing of pension funds’ portfolios dominates. Originality/Value – Two years that passed from the change of the legal rules for the first time gave the possibility to judge the ability of funds portfolios’ managers to adopt their investment policy to the new law.

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