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Analysis of Polish mutual funds performance: a Markovian approach

Author

Listed:
  • Filip Dariusz

    (Cardinal Stefan Wyszynski University in Warsaw (UKSW), Faculty of Social and Economic Sciences, Department of Finance, Poland)

  • Rogala Tomasz

    (Cardinal Stefan Wyszynski University in Warsaw (UKSW), Faculty of Mathematics and Natural Sciences, Institute of Mathematics, Poland)

Abstract

The aim of this study is to determine whether mutual funds provide benefits for their clients. The performance of Polish mutual funds has been evaluated in terms of their efficiency, including their potential inertia over time. Moreover, the use of the phenomenon of economies of scale resulting from assets inflow to the fund by means of the Markovian framework has been examined. The results are consistent with the efficient market hypothesis. When assessing the market-adjusted returns, underperformance was noticed in both small and large funds. The smart money effect, recognised in the literature, is not confirmed here; however, there are some noticeable investor reactions, such as the phenomenon of chasing performance.

Suggested Citation

  • Filip Dariusz & Rogala Tomasz, 2021. "Analysis of Polish mutual funds performance: a Markovian approach," Statistics in Transition New Series, Polish Statistical Association, vol. 22(1), pages 115-130, March.
    • Handle: RePEc:vrs:stintr:v:22:y:2021:i:1:p:115-130:n:4
    DOI: 10.21307/stattrans-2021-006
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    References listed on IDEAS

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