Emerging Market Mutual Fund Performance: Evidence for Poland

30 Pages Posted: 18 Oct 2010

See all articles by Jedrzej Pawel Bialkowski

Jedrzej Pawel Bialkowski

University of Canterbury - Department of Economics and Finance

Rogér Otten

Maastricht University - Limburg Institute of Financial Economics (LIFE)

Date Written: October 18, 2010

Abstract

This paper provides evidence on the performance of mutual funds in a prominent emerging market; Poland. Studying an emerging market provides an excellent opportunity to test whether the consensus on the inability of mutual funds in developed and highly efficient markets to beat the market, also holds in less efficient markets. While the weaknesses of legal institutions and underdeveloped capital markets in emerging countries could negatively contribute to performance, a certain level of market inefficiency might also enable fund managers to successfully apply security selection and therefore beat the market. This paper presents an overview of the Polish mutual fund industry and investigates mutual fund performance using a survivorship bias controlled sample of 140 funds. The latter is done using the Carhart (1997) 4-factor asset-pricing model. In addition, we investigate whether Polish fund managers exhibit “hot hands”, persistence in performance. Finally the influence of fund characteristics on risk-adjusted performance is considered. Our overall results suggest that Polish mutual funds on average are not able to add value, as indicated by their negative net alphas. Interestingly, domestic funds outperform internationally investing funds, which points at informational advantages of local over foreign investors. Finally, we detect strong persistence in mean returns up to 1 year. It is striking that “winning” funds are able to significantly beat the market, based on their significantly positive alpha’s. These results deviate from studies on developed markets that conclude that even past winners are not able to significantly beat the market.

Keywords: Mutual funds, Performance evaluation, Polish mutual funds, Emerging markets

JEL Classification: G12, G20, G23,

Suggested Citation

Bialkowski, Jedrzej Pawel and Otten, Rogér, Emerging Market Mutual Fund Performance: Evidence for Poland (October 18, 2010). Available at SSRN: https://ssrn.com/abstract=1693782 or http://dx.doi.org/10.2139/ssrn.1693782

Jedrzej Pawel Bialkowski (Contact Author)

University of Canterbury - Department of Economics and Finance ( email )

Private Bag 4800
Christchurch
New Zealand

Rogér Otten

Maastricht University - Limburg Institute of Financial Economics (LIFE) ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31 43 388 3838 (Phone)
+31 43 388 4875 (Fax)

HOME PAGE: http://www.fdewb.unimaas.nl/finance/faculty/Otten

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