KOSZTY OBSŁUGI A WYNIKI FUNDUSZY INWESTYCYJNYCH W POLSCE – RELACJA DŁUGOTERMINOWA
EXPENSES AND PERFORMANCE OF MUTUAL FUNDS IN POLAND: LONG-TERM RELATION
Author(s): Dariusz Karaś, Dariusz FilipSubject(s): National Economy, Economic development, Transformation Period (1990 - 2010), Present Times (2010 - today)
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: mutual funds; performance; cointegration; stationarity; expense ratio;
Summary/Abstract: This paper aims to find a possible long-term correlation between mutual funds’ performance and expenses. The examination was conducted by means of classical approaches of the time series analysis, such as the KPSS test for stationarity, the Engle-Granger approach to cointegration and the Johansen test. The study was conducted on the basis of a relatively large study sample concerning four segments of funds operated in Poland in the 2002-2015 period. The obtained results of cointegration tests provide partial evidence that a long-term relation between the expense ratio, which reflects the fees charged by funds, and the achieved mutual fund performance exists in some groups of funds only.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XIX/2018
- Issue No: 2
- Page Range: 128-139
- Page Count: 12
- Language: Polish