Artikel
Analysis of Polish mutual funds performance: a Markovian approach
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.
- Language
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Englisch
- Bibliographic citation
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Journal: Statistics in Transition New Series ; ISSN: 2450-0291 ; Volume: 22 ; Year: 2021 ; Issue: 1 ; Pages: 115-130 ; New York: Exeley
- Subject
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Markov chain
smart money effect
effectiveness
performance inertia
- Event
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Geistige Schöpfung
- (who)
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Filip, Dariusz
Rogala, Tomasz
- Event
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Veröffentlichung
- (who)
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Exeley
- (where)
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New York
- (when)
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2021
- DOI
-
doi:10.21307/stattrans-2021-006
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Filip, Dariusz
- Rogala, Tomasz
- Exeley
Time of origin
- 2021
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