THE ANALYSIS OF THE MANAGEMENT OF ROMANIAN INVESTMENT FUNDS USING ECONOMETRIC METHODS
Marius Dincä‚ and
Roxana Maria GIDINCEANU (dragomir)
Journal of Applied Economic Sciences, 2012, vol. 6, issue 6(18)/ Summer 2011, 132-143
The object of this particular research paper is the analysis of all five investment funds in Romania, having five or more years of continuous activity on the Romanian capital market, through 60 monthly probes. Within a context of a macroeconomic environment characterized by uncertainty, a correct assessment of an investment prior to its inception becomes impetuously necessary. The starting point of this research was facilitated by similar studies in the field such as Sinclair (1990) Phoon, Tan (1993), Gallo, and Swanson (1996). The methodology of research includes testing of managerial abilities based on the established models of Jensen (1968), and Henriksson , and Merton (1984). The added value of this paper consists in the inclusion of two other aspects: namely the yield and the global risk associated to the portfolio using the CAPM model and the stationarity analysis of the series based on the Ljung-Box and the Box-Pierce tests. One of the conclusions of this research was that none the fund managers have either â€œselection abilityâ€ or â€œtiming abilityâ€ . However, risk and return analysis determined that the same group of managers achieved a harmonious grouping of the companies in their respective portfolios. As a result of the analysis performed, all data series were proven to be non-stationary, the funds themselves presenting a type DSP non-stationarity compared to the TSP type non-stationarity of the BET index series. Therefore, we used differentiation for the fund share price value and we have eliminated the trend of the BET index series using the Moving Average.
Keywords: selection ability; timing ability; risk; yield; volatility; stationarity (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://www.jaes.reprograph.ro/articles/summer2011/ ... omir)RoxanaMaria.pdf (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ush:jaessh:v:7:y:2012:i:1(18)_summer2011:p:132
Access Statistics for this article
Journal of Applied Economic Sciences is currently edited by Laura Stefanescu
More articles in Journal of Applied Economic Sciences from Spiru Haret University, Faculty of Financial Management and Accounting Craiova Contact information at EDIRC.
Series data maintained by Laura Stefanescu ().