Selectivity and Market Timing Ability of Polish Fund Managers Analysis of Selected Equity Funds

Ünal, Gözde; Tan, Ömer Faruk

doi:10.2139/ssrn.3094755

Cited by 4 publications

(4 citation statements)

References 3 publications

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“…The literature also provides evidence of market timing abilities of managers in emerging markets. For example, Unal and Tan (2015) studied the Polish fund managers over the period January 2009 to November 2014, considering the post-financial-crisis period of 2008. They suggested that Polish fund managers had no ability to time the market during the quantitative easing era.…”

Section: Review Of Literature and Modelsmentioning

confidence: 99%

Size premium, value premium and market timing: evidence from an emerging economy

Rashid¹,

Sadaqat²,

Jebran

et al. 2018

JEFAS

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Purpose This study aims to investigate the market timing strategy in different market conditions (i.e. up, down, normal and in-financial-crisis situation) in the emerging market of Pakistan over the period 1995 to 2015. Furthermore, this study tests the validity of the capital asset pricing model (CAPM) and Fama and French model. Design/methodology/approach This study considers monthly stock returns of 167 firms and constructs six different portfolios on the basis of different size and book to market ratio. The Treynor and Mazuy model is used to capture the market timing strategy. Findings The results indicate evidence of the market timing in normal market conditions. However, there is less supportive evidence of market timing in up-market, down-market and in-financial-crisis situations. This study also confirms the validity of the capital asset pricing model and Fama and French three-factor model with strong support of value premium and size premium in the stock market. Practical implications The findings of this study are helpful to companies in estimating the cost of issuing equity more accurately. The investors can use market timing to make their investment in a more better and profitable manner. Originality/value Unlike other previous studies, this study considers an extended period to test the validity of the capital asset pricing model and Fama and French model. In addition, this study is novel in testing the marketing timing of the firms in the context of emerging economy of Pakistan.

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Section: Review Of Literature and Modelsmentioning

confidence: 99%

Size premium, value premium and market timing: evidence from an emerging economy

Rashid¹,

Sadaqat²,

Jebran

et al. 2018

JEFAS

View full text Add to dashboard Cite

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“…The higher the value of the alpha, the more skilled the investment managers against the market benchmark (Kim, 2013). In short, the Jensen's alpha evaluates an investor or portfolio manager's selectivity skills (Ünal, & Tan, 2015). Table 1 shows that the average Jensen's alpha for all fixed income funds is -0.0031, which is less than the benchmark's alpha.…”

Section: Resultsmentioning

confidence: 95%

Impact of Covid-19 Pandemic on Fixed Income Unit Trust Fund and Equity Unit Trust Fund Performances: A Comparative Analysis in Malaysia

Selvam

Tunggal

2021

LBIBF

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The shock of the global COVID-19 pandemic is critical even compared to the great financial crisis of 2007–2008 (Sansa, 2020). This study emphasises the performances of equity unit trust funds and fixed income unit trust funds during the COVID-19 pandemic, applying daily data from January 2020 to June 2020. A total of 32 unit trust funds are selected for the study, consisting of 16 fixed income funds and 16 equity funds. The performance of the unit trust funds is examined by using the Sharpe ratio measure, Treynor ratio measure, and Jensen’s alpha measure to analyse the impact of COVID-19 on the funds. The findings of this research suggest a mixed result of performance, where some funds outperformed the market benchmark while others underperformed it. For the fixed income unit trust funds, both the average standard deviation and average beta underperformed the benchmark index. On the contrary, the total risk of equity funds is higher than the market benchmark, while systematic risk is lower than the market benchmark. Besides, based on the results of Jensen’s alpha, only a few unit trust funds have a positive alpha, implying that some of the fund managers are either good in market timing or in selecting unit trust funds. Investors and fund managers can benefit from this study when making decisions to enhance their portfolios’ performances during the crucial period. This study will also provide a general outlook on the behaviour and performance of unit trust funds in Malaysia during the selected period of the COVID-19 crisis.

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“…Since early 2000 to late 2008, by adopting the Treynor-Mazuy framework and Sharpe and Treynor ratios. Findings indicate that the domestic mutual equity funds under scrutiny do not present positive alphas and show weak timing skills in relation to the market, Ünal and Tan (2015) study the aplhas and gammas in Poland from early 2009 to late 2014. Findings reveal that only one seventh of funds present selectivity skills, but results are robust.…”

Section: Literature Reviewmentioning

confidence: 90%

Investigating Financial Performance of Low-and High-Rated ETFs During the QE-Tapering

Galatis

Nitsi

Theloura

2020

HOLISTICA – Journal of Business and Public Administration

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This paper investigates the financial performance of 37 low-rated and high-rated global ETFs during QE-Tapering. Weekly data are employed that cover the period from October 27, 2014 until September 24, 2018. The estimations are based on the well-known CAPM model. The measures employed are the Sharpe and Treynor ratios as well as the Jensen’s alpha, the beta and the a/b measures. Results indicate no existence of selectivity skills neither in low- nor in high-rated ETFs. It should be noted that low-rated ETFs exhibit bearish behavior whereas high-rated ones present bullish behavior. Thereby, one can see that high-rated ETFs are better able to outperform the market during periods of normalization of monetary policy after extra easing action taking has been terminated.

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Selectivity and Market Timing Ability of Polish Fund Managers Analysis of Selected Equity Funds

Cited by 4 publications

References 3 publications

Size premium, value premium and market timing: evidence from an emerging economy

Size premium, value premium and market timing: evidence from an emerging economy

Impact of Covid-19 Pandemic on Fixed Income Unit Trust Fund and Equity Unit Trust Fund Performances: A Comparative Analysis in Malaysia

Investigating Financial Performance of Low-and High-Rated ETFs During the QE-Tapering

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