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Managerial Factors in Investment Risk: Evidence from Polish Mutual Funds

Author

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  • Filip Dariusz

    (Cardinal Stefan Wyszynski University in Warsaw, Faculty of Social Sciences, Department of Finance)

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.

Suggested Citation

  • Filip Dariusz, 2020. "Managerial Factors in Investment Risk: Evidence from Polish Mutual Funds," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 16(1), pages 1-10, March.
    • Handle: RePEc:vrs:finiqu:v:16:y:2020:i:1:p:1-10:n:4
    DOI: 10.2478/fiqf-2020-0001
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    More about this item

    Keywords

    mutual funds; investment risk; managerial characteristics; human capital;
    All these keywords.

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • J24 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Human Capital; Skills; Occupational Choice; Labor Productivity
    • M12 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Personnel Management; Executives; Executive Compensation

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