The Analysis of Czech Investment Funds Performance

Ekonomické Listy, No. 9, pp. 22-39, 2011

18 Pages Posted: 19 Jun 2011 Last revised: 17 Feb 2012

Date Written: November 30, 2011

Abstract

The paper presents the analysis of efficiency of equity funds performance in the Czech Republic. The study took place between January 2004 and December 2010 and is based on the measures of returns frequently mentioned in financial literature. In general, the empirical results do not confirm the occurrence of abnormal returns that could be statistically significant. However, periodical returns of Czech investment funds indicate the existence of competition in the sector but without a competitive advantage of particular funds. The results obtained by the application of the single-index asset pricing model (CAPM) and four-factor Carhart model indicate an influence of the market factor on funds returns. The performance dependence of investment funds in consecutive periods was hardly observed. The findings encourage further investigations of investment fund performance in the Czech Republic in future, when more data will be available.

Keywords: mutual funds, performance evaluation, emerging market, survivorship bias, Carhart model

JEL Classification: G11, G14, G23

Suggested Citation

Filip, Dariusz, The Analysis of Czech Investment Funds Performance (November 30, 2011). Ekonomické Listy, No. 9, pp. 22-39, 2011, Available at SSRN: https://ssrn.com/abstract=1865133 or http://dx.doi.org/10.2139/ssrn.1865133

Dariusz Filip (Contact Author)

UKSW ( email )

Faculty of History and Social Sciences
Warsaw
Poland

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