Market Timing Models for Equity Funds Operating on the Polish Market in the Years 2003–2017

Dorota Żebrowska-Suchodolska and Andrew Karpio ()

Chapter Chapter 21 in Experimental and Quantitative Methods in Contemporary Economics, 2020, pp 291-309 from Springer

Abstract: Abstract The use of a proper investment policy by fund managers has a huge impact on the results achieved. Asset selection for the portfolio is of key importance, in line with the investment policy declared by the fund, and the appropriate timing of changes in the assets in the portfolio. This research aims to assess whether managers in the Polish market have the ability to select assets with a sense of market timing and selectivity. The research concerns domestic equity funds operating in between 2003 and 2017, from which 15 were selected. The entire research period was divided into three five-year sub-periods, to some extent coinciding with changing market conditions, and seven two-year periods, covering the years 2003–2016. It was assumed that the results for the entire period describe long-term strategies of funds, five-year and two-year periods, being respectively the medium and short term. The basis for calculations was the monthly rates of return on participation units. The research was carried out using the Treynor–Mazuy, Henriksson–Merton, and Busse models. WIBOR 1M was accepted as a risk-free rate, and the WIG index was the market factor. The summary of the research is a comparison of the results regarding the selectivity of asset selection, market timing, and the ability of managers of open investment fund portfolios to respond to the market situation. The final conclusions are not very favorable for the managers, and the clients require active involvement in the selection of funds.

Keywords: Investment fund; Market timing; Market sensitivity; Selectivity; C51; G11; G23 (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:prbchp:978-3-030-30251-1_21

Ordering information: This item can be ordered from
http://www.springer.com/9783030302511

DOI: 10.1007/978-3-030-30251-1_21

Access Statistics for this chapter

More chapters in Springer Proceedings in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().