Ocena efektywności inwestycji funduszy inwestycyjnych z tytułu doboru papierów wartościowych i umiejętności wykorzystania trendów rynkowych
Timing and selectivity in mutual funds performance measurement

Summary/Abstract: This study examines the performance of 8 Polish equity funds investing between 2000 and 2011. CAPM and Henriksson-Merton models are used to assess the market timing and stock selection abilities of mutual fund managers. The estimated parameters of these models are statistically significant and the models are well fitted to data. However, it was impossible to find evidence of any market timing ability within the selected funds.

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