Please use this identifier to cite or link to this item: http://ena.lp.edu.ua:8080/handle/ntb/24301
Title: On market timing and portfolio selectivity: modifying the Henriksson-Merton model
Authors: Goś, Krzysztof
Bibliographic description (Ukraine): Goś K. On market timing and portfolio selectivity: modifying the Henriksson-Merton model / Krzysztof Goś // Економіка і менеджмент : матеріали ІI Міжнародної конференції молодих вчених ЕМ-2011, 24–26 листопада 2011 р., Львів, Україна / Національний університет "Львівська політехніка". – Львів : Видавництво Львівської політехніки, 2011. – C. 202–205. – (3-й Міжнародний молодіжний фестиваль науки). – Bibliography: 25 titles.
Issue Date: 2011
Publisher: Видавництво Львівської політехніки
Keywords: investment performance
market timing
portfolio selectivity
investment funds
mutual funds
Abstract: This paper evaluates selected functionalities of the parametrical Henriksson-Merton test, a tool designed for measuring the market timing and portfolio selectivity capabilities. It also provides a solution to two significant disadvantages of the model: relatively indirect interpretation and vulnerability to parameter insignificance. The model has been put to test on a group of Polish mutual funds in a period of 63 months (January 2004 – March 2009), providing unsatisfactory parameter significance results. A modification to the structure of the equation was proposed in order to improve the versatility of the tool and make it easier to interpret. The modified model was later successfully verified on the same database. Consistent with prior literature, the empirical results indicated that the market timing and portfolio selectivity skills do have an impact on the level of excess portfolio returns.
URI: http://ena.lp.edu.ua:8080/handle/ntb/24301
Content type: Article
Appears in Collections:Економіка і менеджмент (EM-2011 ). – 2011 р.

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