Issue: 2010/Vol.20/No.2, Pages 91-106
THREE-FACTOR MARKET-TIMING MODELS WITH FAMA AND FRENCH’S SPREAD VARIABLES
Joanna Olbryś
Cite as: J. Olbryś. Three-factor market-timing models with Fama and French’s spread variables. Operations Research and Decisions 2010: 20(2), 91-106.
Abstract
The traditional performance measurement literature has attempted to distinguish security selection, or stock-picking ability, from market-timing, or the ability to predict overall market returns. However, the literature finds that it is not easy to separate ability into such dichotomous categories. Some researchers have developed models that allow the decomposition of manager performance into market-timing and selectivity skills. The main goal of this paper is to present modified versions of classic market-timing models with Fama and French’s spread variables SMB and HML, in the case of Polish equity mutual funds.
Keywords: mutual funds, performance evaluation, market-timing, selectivity, mimicking portfolios
Received: Accepted: