Dynamiczne wersje hybrydowych modeli market timing oraz weryfikacja ich przydatności w ocenie ryzyka i efektywności funduszy inwestycyjnych
Dynamic Versions of the Hybrid Models of Market Timing and Verification of Their Usefulness in Assessing the Risk and the Efficiency of the Investment Funds

Summary/Abstract: Purpose – The aim of the work is an attempt to examine the influence of delayed Famy-French factors and the delayed return rate in the three-factor model on the return rate of the shares investment funds. Research methodology – Application and verification of the DLM dynamic models with the distributed delays. The research covered a group of 67 shares investment funds, within the period from January 2009 to June 2015. Result – The influence of the delayed market variables (including market timing) and Famy-French on the return rate of return from the shares investment funds was verified. It was observed that the market return rates were influenced by the monthly delays, and Famy-French factors were influenced on the quarterly delays. Originality/value – The result of the analysis is to indicate the need to replace the classic parameters of the MT-FF model by their counterparts in the form of long-term multipliers, which reflect the actual systematic risk and the funds effectiveness.

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