Managerial factors in investment risk: evidence from Polish mutual funds
Managerial factors in investment risk: evidence from Polish mutual funds
Author(s): Dariusz FilipSubject(s): National Economy, Financial Markets, Fiscal Politics / Budgeting
Published by: Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
Keywords: mutual funds; investment risk; managerial characteristics; human capital;
Summary/Abstract: The aim of this study is to examine whether investment risk is related to the managerial factors characterising portfolio managers. The study employs four risk measures and a set of individual manager characteristics, including socio-demographic variables determining a manager profile. The analysis is conducted based on data for 144 portfolio managers from 43 domestic equity funds operating in Poland in the period 2000-2015. The examinations are made possible by using static panel models. The obtained results indicate the existence of a relationship between managerial characteristics and risk measures, such as: standard deviation, beta coefficient, tracking error and bear-market percentile ranking. To our knowledge, it is the first paper to evaluate the investment risk of Polish mutual funds in relation to managerial characteristics.
Journal: Financial Internet Quarterly
- Issue Year: 16/2020
- Issue No: 1
- Page Range: 1-10
- Page Count: 10
- Language: English
