create a website

Analysis of Polish mutual funds performance: a Markovian approach. (2021). Filip, Dariusz ; Rogala, Tomasz.
In: Statistics in Transition New Series.
RePEc:exl:29stat:v:22:y:2021:i:1:p:115-130.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 40

References cited by this document

Cocites: 23

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. ABDYMOMUNOV, A., MORLEY, J., (2011). Time variation of CAPM betas across market volatility regimes, Applied Financial Economics, Vol. 21, pp. 1463–1478.

  2. ALVES, C., MENDES, V., (2011). Does performance explain mutual fund flows in small markets? The case of Portugal, Portuguese Economic Journal, Vol. 10, pp. 129–147.

  3. AYADI, M.A., LAZRAK, S., LIAO, Y., WELCH, R., (2018). Performance of fixedincome mutual funds with regime-switching models, The Quarterly Review of Economics and Finance, Vol. 69, pp. 217–231.

  4. BADEA, L., ARMEANU, D.,S., PANAIT, I., GHERGHINA, S. C., (2019). A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings, Sustainability, Vol. 11, pp. 1–24.

  5. DEVOLDER, P., JANSSEN, J., MANCA, R., (2012). Stochastic Methods for Pension Funds, ISTE Ltd, London and John Wiley & Sons, New York.
    Paper not yet in RePEc: Add citation now
  6. DRAKOS, K., GIANNAKOPOULOS, N., KONSTANTINOU, P., (2015). Investigating Persistence in the US Mutual Fund Market: A Mobility Approach, Review of Economic Analysis, Vol. 7, pp. 54–83.

  7. DU, D., HUANG, Z., BLANCHFIELD, P. J., (2009). Do fixed income mutual fund managers have managerial skills? The Quarterly Review of Economics and Finance, Vol. 49, pp. 378–397.

  8. ELTON, E. J., GRUBER, M. J., BLAKE, C., (1996). The Persistence of Risk-Adjusted Mutual Fund Performance, Journal of Business, Vol. 69, pp. 133–157.

  9. FAMA, E. F., (1970). Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance, Vol. 25, pp. 383–417.

  10. FAMA, E. F., FRENCH, K. R., (1993). Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, Vol. 33, pp. 3–56.

  11. FENECH, J.-P., YAP, Y. K., SHAFIK, S., (2013). Brief Technical Note: A Markov Chain Approach to Measure Investment Rating Migrations, Australasian Accounting, Business and Finance Journal, Vol. 7, pp. 145–154.
    Paper not yet in RePEc: Add citation now
  12. FERSON, W., SCHADT, R. W., (1996). Measuring fund strategy and performance in changing economic conditions, Journal of Finance, Vol. 51, pp. 425–462.

  13. FRAZZINI, A., LAMONT, O., (2006). Dumb money: mutual fund flows and the crosssection of stock returns. NBER Working Paper 11526.
    Paper not yet in RePEc: Add citation now
  14. FRIESEN, G., SAPP, T., (2007). Mutual fund flows and investor returns: an empirical examination of fund investor timing ability, Journal of Banking & Finance, Vol. 31, pp. 2796–2816.

  15. FUNG, W., HSIEH, D. A., (2004). Hedge Fund Benchmarks: A Risk-Based Approach, Financial Analysts Journal, Vol. 60, pp. 65–80.
    Paper not yet in RePEc: Add citation now
  16. GOETZMANN, W. N., IBBOTSON, R. G., (1994). Do Winners Repeat? Journal of Portfolio Management, Vol. 20, pp. 9–18.
    Paper not yet in RePEc: Add citation now
  17. GRINBLATT, M., TITMAN, S., (1989). Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings, Journal of Business, Vol. 62, pp. 393–416.

  18. GRINBLATT, M., TITMAN, S., (1992). The Persistence of Mutual Fund Performance, Journal of Finance, Vol. 7, pp. 1977–1984.

  19. GRINBLATT, M., TITMAN, S., (1994). A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques, Journal of Financial and Quantitative Analysis, Vol. 29, pp. 419–444.

  20. GRUBER, M., (1996). Another puzzle: The growth in actively managed mutual funds, Journal of Finance, Vol. 51, pp. 783–810.
    Paper not yet in RePEc: Add citation now
  21. HENDRICKS, D., PATEL, J., ZECKHAUSER, R., (1993). Hot hands in mutual funds: Short-run persistence of relative performance, 1974-1988, Journal of Finance, Vol. 48, pp. 93–131.

  22. HENRIKSSON, R. D., (1984). Market Timing and Mutual Fund Performance: An Empirical Investigation, The Journal of Business, Vol. 57, pp. 73–96.

  23. HUIJ, J., DERWALL, J., (2008). ‘‘Hot Hands’’ in bond funds, Journal of Banking & Finance, Vol. 32, pp. 559–572.
    Paper not yet in RePEc: Add citation now
  24. HUIJ, J., VERBEEK, M., (2007). Cross-sectional learning and short-run persistence in mutual fund performance, Journal of Banking and Finance, Vol. 31, pp. 973–997.

  25. JENSEN, M., (1968). The Performance of Mutual Funds in the Period 1945-1964, Journal of Finance, Vol. 23, pp. 389–416.

  26. KEMENY, J. G., SNELL, L. J., (1976). Finite Markov Chains. With a New Appendix Generalization of a Fundamental Matrix. Springer-Verlag, New York-BerlinHeidelberg -Tokio.
    Paper not yet in RePEc: Add citation now
  27. LINTNER, J., (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock, Portfolios and Capital Budgets, The Review of Economics and Statistics, Vol. 47, pp. 13–37.
    Paper not yet in RePEc: Add citation now
  28. MOSSIN, J., (1966). Equilibrium in a Capital Asset Market, Econometrica, Vol. 34, pp. 768–783.
    Paper not yet in RePEc: Add citation now
  29. PEREZ, K., (2012). Persistence in performance of Polish mutual funds (in Polish), Finanse, Vol. 1, pp. 81–113.
    Paper not yet in RePEc: Add citation now
  30. POITRAS, G., HEANEY, J., (2015). Classical Ergodicity and Modern Portfolio Theory, Chinese Journal of Mathematics, Article ID 737905, pp. 1–17.

  31. SAPP, T., TIWARI, A., (2004). Does stock return momentum explain the ‘smart money’ effect? Journal of Finance, Vol. 59, pp. 2605–2622.

  32. SHARPE, W. F., (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, Vol. 19, pp. 425–442.

  33. STATISTICS IN TRANSITION new series, March 2021 129 FRIEND, I., BLUME, M. E., CROCKETT, J., (1970). Mutual Funds and Other Institutional Investors – A new perspective. New York: Mc Graw Hill Book Company.
    Paper not yet in RePEc: Add citation now
  34. STEFFI YANG, J.-H., (2004). The Markovian Dynamics of Smart Money, Far Eastern Meetings from Econometric Society, No 797.

  35. TEO, M., WOO, S.-J., (2004). Style effects in the cross-section of stock returns, Journal of Financial Economics, Vol. 74, pp. 367–398.

  36. URBAŃSKI, S., (2017). Short-, medium- and long-run performance persistence of investment funds in Poland, Bank i Kredyt, Vol. 48, pp. 343–374.
    Paper not yet in RePEc: Add citation now
  37. WERMERS, R., (2003). Is Money Really “smart? New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance Persistence. Working paper, University of Maryland.
    Paper not yet in RePEc: Add citation now
  38. WŁODARCZYK, A., SKRODZKA, W., (2013). Modelling Decision-Making Processes on The Mutual Funds Market Using Switching Treynor-Mazuy Model (in Polish), Zarządzanie i Finanse, Vol. 4, pp. 211–226.
    Paper not yet in RePEc: Add citation now
  39. ZAMOJSKA, A., (2011). Empirical verification of persistence performance of Polish equity fund (in Polish), Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, No. 183, pp. 482–490.
    Paper not yet in RePEc: Add citation now
  40. ZHENG, L., (1999). Is Money Smart? A study of Mutual Fund Investors' Fund Selection Ability, Journal of Finance, Vol. 54, pp. 901–933.

Cocites

Documents in RePEc which have cited the same bibliography

  1. A state-dependent international CAPM for partially integrated markets: Using local and US risk factors. (2024). Tajaddini, Reza ; Hematizadeh, Roksana.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000954.

    Full description at Econpapers || Download paper

  2. The relation between earnings and price momentum: Does it vary across regimes?. (2022). Zheng, Yao ; Wei, Peihwang ; Osmer, Eric.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:58:y:2022:i:3:d:10.1007_s11156-021-01021-z.

    Full description at Econpapers || Download paper

  3. An Investigation of the Beta Anomaly in Emerging Markets: A South African Case. (2022). Segojane, Mabekebeke ; Ndlovu, Godfrey.
    In: JRFM.
    RePEc:gam:jjrfmx:v:15:y:2022:i:5:p:214-:d:810895.

    Full description at Econpapers || Download paper

  4. Analysis of Polish mutual funds performance: a Markovian approach. (2021). Tomasz, Rogala ; Dariusz, Filip.
    In: Statistics in Transition New Series.
    RePEc:vrs:stintr:v:22:y:2021:i:1:p:115-130:n:4.

    Full description at Econpapers || Download paper

  5. Some Markov-Switching Models for the Toronto Stock Exchange. (2021). Accolley, Delali.
    In: MPRA Paper.
    RePEc:pra:mprapa:108072.

    Full description at Econpapers || Download paper

  6. Analysis of Polish mutual funds performance: a Markovian approach. (2021). Filip, Dariusz ; Rogala, Tomasz.
    In: Statistics in Transition New Series.
    RePEc:exl:29stat:v:22:y:2021:i:1:p:115-130.

    Full description at Econpapers || Download paper

  7. An extended regularized Kalman filter based on Genetic Algorithm: Application to dynamic asset pricing models. (2021). Jiang, Minqi ; Zhang, LU ; Liu, Jiapeng.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:79:y:2021:i:c:p:28-44.

    Full description at Econpapers || Download paper

  8. A Review of Main Strands on the Flow-Performance Relationship of Mutual Funds. (2021). Filip, Dariusz.
    In: Athens Journal of Business & Economics.
    RePEc:ate:journl:ajbev7i3-2.

    Full description at Econpapers || Download paper

  9. THE DISPOSITION EFFECT AMONG MUTUAL FUND PARTICIPANTS: A RE-EXAMINATION. (2020). Silva, Paulo ; Mendes, Victor ; Abreu, Margarida.
    In: Working Papers REM.
    RePEc:ise:remwps:wp01262020.

    Full description at Econpapers || Download paper

  10. State-dependent size and value premium: evidence from a regime-switching asset pricing model. (2019). Piqueira, Natalia ; Li, Bingxin.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:20:y:2019:i:3:d:10.1057_s41260-019-00113-9.

    Full description at Econpapers || Download paper

  11. The Low Beta Anomaly and Estimation Interval. (2019). Renfro, Brandon.
    In: Accounting and Finance Research.
    RePEc:jfr:afr111:v:8:y:2019:i:1:p:203.

    Full description at Econpapers || Download paper

  12. Contribution to the Valuation of BRVM’s Assets: A Conditional CAPM Approach. (2019). Assani, Smael Afolabi ; Toure, Mohamed ; Konte, Mamadou ; Cisse, Mamadou.
    In: JRFM.
    RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:27-:d:204010.

    Full description at Econpapers || Download paper

  13. Multi-Factor Asset-Pricing Models under Markov Regime Switches: Evidence from the Chinese Stock Market. (2018). Kawaguchi, Yuichiro ; Chen, Jieting.
    In: IJFS.
    RePEc:gam:jijfss:v:6:y:2018:i:2:p:54-:d:148049.

    Full description at Econpapers || Download paper

  14. Dynamic CAPM under ambiguity—An experimental approach. (2017). Toma, Mihai ; Negrea, Bogdan.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:16:y:2017:i:c:p:22-32.

    Full description at Econpapers || Download paper

  15. Determinants of equity pension plan flows. (2014). Martiballester, Carmenpilar.
    In: Estudios de Economia.
    RePEc:udc:esteco:v:41:y:2014:i:1:p:125-148.

    Full description at Econpapers || Download paper

  16. The sensitivity of Fama-French factors to economic uncertainty. (2014). Moussa, Zakaria ; Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01015702.

    Full description at Econpapers || Download paper

  17. Multifactor risk loadings and abnormal returns under uncertainty and learning. (2014). Trecroci, Carmine ; Salotti, Simone.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:54:y:2014:i:3:p:393-404.

    Full description at Econpapers || Download paper

  18. Performance persistence in fixed interest funds: With an eye on the post-debt crisis period. (2014). Alexakis, Christos ; Grose, Chris ; Dasilas, Apostolos.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:33:y:2014:i:c:p:155-182.

    Full description at Econpapers || Download paper

  19. Determinants of equity pension plan flows. (2013). Marti Ballester, Carmen Pilar, .
    In: Economics Discussion Papers.
    RePEc:zbw:ifwedp:201315.

    Full description at Econpapers || Download paper

  20. The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter?. (2013). Silva, Florinda ; Areal, Nelson ; Cortez, Maria .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:27:y:2013:i:4:p:397-429.

    Full description at Econpapers || Download paper

  21. Mutual funds withdraw shield: performance or agency costs driver?. (2012). Alves, Carlos ; Mouta, Helena .
    In: Economics and Business Letters.
    RePEc:ove:journl:aid:9318.

    Full description at Econpapers || Download paper

  22. Mutual funds biased preference for the parents stock: evidence and explanation. (2010). Mendes, Victor ; Alves, Carlos.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:20:y:2010:i:16:p:1309-1320.

    Full description at Econpapers || Download paper

  23. Testing CAPM using Markov switching model: the case of coal firms. (2010). Çevik, Emrah ; Korkmaz, Turhan ; Ozata, Nesrin ; Birkan, Elif.
    In: MPRA Paper.
    RePEc:pra:mprapa:71479.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-29 23:29:41 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.