Analysis of Polish mutual funds performance: a Markovian approach

Filip Dariusz () and Rogala Tomasz ()
Additional contact information
Filip Dariusz: Cardinal Stefan Wyszynski University in Warsaw (UKSW), Faculty of Social and Economic Sciences, Department of Finance, Poland
Rogala Tomasz: Cardinal Stefan Wyszynski University in Warsaw (UKSW), Faculty of Mathematics and Natural Sciences, Institute of Mathematics, Poland

Statistics in Transition New Series, 2021, vol. 22, issue 1, 115-130

Abstract: The aim of this study is to determine whether mutual funds provide benefits for their clients. The performance of Polish mutual funds has been evaluated in terms of their efficiency, including their potential inertia over time. Moreover, the use of the phenomenon of economies of scale resulting from assets inflow to the fund by means of the Markovian framework has been examined. The results are consistent with the efficient market hypothesis. When assessing the market-adjusted returns, underperformance was noticed in both small and large funds. The smart money effect, recognised in the literature, is not confirmed here; however, there are some noticeable investor reactions, such as the phenomenon of chasing performance.

Keywords: Markov chain; smart money effect; effectiveness; performance inertia. (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.21307/stattrans-2021-006 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:vrs:stintr:v:22:y:2021:i:1:p:115-130:n:4

DOI: 10.21307/stattrans-2021-006

Access Statistics for this article

Statistics in Transition New Series is currently edited by Włodzimierz Okrasa

More articles in Statistics in Transition New Series from Statistics Poland
Bibliographic data for series maintained by Peter Golla ().