Managerial Factors in Investment Risk: Evidence from Polish Mutual Funds

Filip Dariusz ()
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Filip Dariusz: Cardinal Stefan Wyszynski University in Warsaw, Faculty of Social Sciences, Department of Finance

Financial Internet Quarterly (formerly e-Finanse), 2020, vol. 16, issue 1, 1-10

Abstract: The aim of this study is to examine whether investment risk is related to the managerial factors characterising portfolio managers. The study employs four risk measures and a set of individual manager characteristics, including socio-demographic variables determining a manager profile. The analysis is conducted based on data for 144 portfolio managers from 43 domestic equity funds operating in Poland in the period 2000-2015. The examinations are made possible by using static panel models. The obtained results indicate the existence of a relationship between managerial characteristics and risk measures, such as: standard deviation, beta coefficient, tracking error and bear-market percentile ranking. To our knowledge, it is the first paper to evaluate the investment risk of Polish mutual funds in relation to managerial characteristics.

Keywords: mutual funds; investment risk; managerial characteristics; human capital (search for similar items in EconPapers)
JEL-codes: G23 J24 M12 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:finiqu:v:16:y:2020:i:1:p:1-10:n:4

DOI: 10.2478/fiqf-2020-0001

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