Is Mutual Fund Performance Persistent Evidence From The Polish Market
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Author | : Adam Zaremba |
Publisher | : |
Total Pages | : |
Release | : 2016 |
Genre | : |
ISBN | : |
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.
Author | : Andreas Grünbichler |
Publisher | : |
Total Pages | : 35 |
Release | : 1999 |
Genre | : |
ISBN | : |
Author | : Vassilios Babalos |
Publisher | : |
Total Pages | : 41 |
Release | : 2011 |
Genre | : |
ISBN | : |
The present study examines a series of performance measures as an attempt to resolve the ex post verification problem. These measures are employed to test the performance persistence hypothesis of domestic equity funds in Greece, during the period 1998-2004. Correctly adjusting for risk factors and documented portfolio strategies explains a significant part of the reported persistence. The intercept of the augmented Carhart regression is proposed as the most appropriate performance measure. Using this measure, weak evidence for persistence, only before 2001, is documented. The growth of the fund industry, the direction of flows to past winners and the integration in the international financial system are suggested to be the reasons for the absence of performance persistence.
Author | : Konstantinos N. Zafeiris |
Publisher | : John Wiley & Sons |
Total Pages | : 484 |
Release | : 2022-08-17 |
Genre | : Computers |
ISBN | : 1394165501 |
The scientific field of data analysis is constantly expanding due to the rapid growth of the computer industry and the wide applicability of computational and algorithmic techniques, in conjunction with new advances in statistical, stochastic and analytic tools. There is a constant need for new, high-quality publications to cover the recent advances in all fields of science and engineering. This book is a collective work by a number of leading scientists, computer experts, analysts, engineers, mathematicians, probabilists and statisticians who have been working at the forefront of data analysis and related applications. The chapters of this collaborative work represent a cross-section of current concerns, developments and research interests in the above scientific areas. The collected material has been divided into appropriate sections to provide the reader with both theoretical and applied information on data analysis methods, models and techniques, along with related applications.
Author | : Javier Vidal-García |
Publisher | : |
Total Pages | : 37 |
Release | : 2017 |
Genre | : |
ISBN | : |
The mutual fund industry in Europe has experienced significant growth during recent years as a consequence of the integration of its markets. However, the European mutual fund industry is still an unexplored area of research with only a few significant articles compared to the US industry. In this article, we examine the short-term persistence in mutual fund performance in Europe between 1990 and 2015. Using a sample of daily survivorship bias-free data on the five most important European mutual fund countries, we find statistically significant persistence in the post-ranking quarter across different performance models for all countries. This evidence is present across all deciles including the top-decile and bottom-decile mutual funds.
Author | : Thomas C. H. Sandvall |
Publisher | : |
Total Pages | : 37 |
Release | : 1998 |
Genre | : |
ISBN | : 9789515555830 |
Author | : group of authors |
Publisher | : Czech Institute of Academic Education z.s. |
Total Pages | : 360 |
Release | : 2015-11-09 |
Genre | : Business & Economics |
ISBN | : 8090579159 |
Proceedings - International Academic Conference on Management, Economics and Marketing in Vienna 2015
Author | : Simon Grima |
Publisher | : Emerald Group Publishing |
Total Pages | : 248 |
Release | : 2016-03-09 |
Genre | : Business & Economics |
ISBN | : 1785609998 |
This special edition includes studies by the University of Malta, MSc Banking and Finance graduates and the respective lecturers, on financial services within particular countries or regions and studies of themes such as credit risk management, fund management and evaluation, forex hedging using derivatives and sovereign fixed income portfolios.
Author | : |
Publisher | : |
Total Pages | : 41 |
Release | : 2007 |
Genre | : |
ISBN | : |
Author | : Harold Kent Baker |
Publisher | : Oxford University Press, USA |
Total Pages | : 663 |
Release | : 2016 |
Genre | : Business & Economics |
ISBN | : 0190207434 |
Mutual Funds and Exchange-Traded Funds: Building Blocks to Wealth provides a fresh look at this intriguing but often complex subject. Its coverage spans the gamut from theoretical to practical coverage.