Multifactor Mutual Fund Performance Evaluation Based on the Panel Data Estimation

Joanna Olbrys

Chapter 6 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2012, vol. 10, pp 107-119 from University of Lodz

Abstract: Chapter 6 by J. Olbryś is devoted to mutual fund performance. The Author’s purpose was to evaluate the market-timing (macroforecasting) models of mutual fund portfolios in Poland using panel data methods. The results of the factor models do not support the hypothesis that mutual fund managers are able to follow an investment strategy that successfully times the return on the market portfolio.

Keywords: Mutual fund; Panel data; Factor models (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2012
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