Three-factor market-timing models with Fama and French’s spread variables

Joanna Olbrys

Operations Research and Decisions, 2010, vol. 20, issue 2, 91-106

Abstract: The traditional performance measurement literature has attempted to distinguish security selection, or stock-picking ability, from market-timing, or the ability to predict overall market returns. However, the literature finds that it is not easy to separate ability into such dichotomous categories. Some researchers have developed models that allow the decomposition of manager performance into market-timing and selectivity skills. The main goal of this paper is to present modified versions of classic market-timing models with Fama and French’s spread variables SMB and HML, in the case of Polish equity mutual funds.

Keywords: mutual funds; performance evaluation; market-timing; selectivity; mimicking portfolios (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ord.pwr.edu.pl/assets/papers_archive/164%20-%20published.pdf (application/pdf)

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:wut:journl:v:2:y:2010:p:91-106

Access Statistics for this article

More articles in Operations Research and Decisions from Wroclaw University of Science and Technology, Faculty of Management Contact information at EDIRC.
Bibliographic data for series maintained by Adam Kasperski ().