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Diversification Opportunities through Fixed-income Managed Funds in Eastern Europe

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  • Chris Grose

    (Chris Grose, School of Economics and Business Administration, International Hellenic University, 14th klm Thessaloniki-N. Moudania, 57001, Thessaloniki, Greece. E-mail: c.grose@ihu.edu.gr)

Abstract

In measuring the performance characteristics of fixed-income mutual funds in the emerging economies of Eastern Europe, we use a sample of funds domiciled in Poland, Hungary and the Czech Republic, finding failure to surpass passive benchmarks even before considering the impact of expenses on overall returns. Market timing on the part of fund managers is found but in higher moment testing, being overwhelmed though by seemingly full replication of passive benchmark strategies followed. Results are negatively influenced by stock market returns in the relative markets, while public information variables appear to enclose informational content proven useful to fund managers. JEL Classification: G11, G15, G23

Suggested Citation

  • Chris Grose, 2013. "Diversification Opportunities through Fixed-income Managed Funds in Eastern Europe," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 12(1), pages 1-29, April.
    • Handle: RePEc:sae:emffin:v:12:y:2013:i:1:p:1-29
    DOI: 10.1177/0972652712473395
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    References listed on IDEAS

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    More about this item

    Keywords

    Bond mutual funds; Eastern Europe; international diversification; conditional model; fund flows;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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