The aim of the research is evaluation of the efficiency of 19 selected open-end investment funds that have been operating at the Polish market. Analysis is based on daily data and covers the period from November, 2, 2006 to November, 2, 2008. Investigation is provided for the time series that contain observations from 3, 6, 12 and 24 months. The risk-free rate instruments are represented by selected treasury bonds and the market index is represented by the WIG (Warsaw Stock Exchange Index). In the research we apply Sharpe, Treynor and Jensen ratios as well as we investigate selectivity and market timing employing Treynor-Mazuy and Henriksson-Merton models.

1. FULLTEXT: Investigation of the Strong Form Efficient Market Hypothesis: the Example of Selected Investment Funds, Microsoft Office Document, 0.4MB

• Legal notice:
  

  Copyright (c) Pielaszek Research, all rights reserved.
  The above materials, including auxiliary resources, are subject to Publisher's copyright and the Author(s) intellectual rights. Without limiting Author(s) rights under respective Copyright Transfer Agreement, no part of the above documents may be reproduced without the express written permission of Pielaszek Research, the Publisher. Express permission from the Author(s) is required to use the above materials for academic purposes, such as lectures or scientific presentations.
  In every case, proper references including Author(s) name(s) and URL of this webpage: https://science24.com/paper/20408 must be provided.

1. Art Market in Poland. Evaluation of the individual hedonic art price indexes for the selected Polish painters
2. Gender parity in public companies in Poland vs. EU equality directive
3. Structure of employment and wages in ICT and tourism sectors in Baltic Sea Region: gender analysis
4. Copyright Collecting Societies and Cable Operators – Assessment of Copyright Value: Taxonomic and Market Comparison Approach
5. Polish pension market performance in comparison to selected benchmarks
6. Effects of the Warsaw Stock Exchange trading sessions extension
7. A Comparison of Global Stock Market before and after the 2007-2009 Global Financial Crisis
8. Determinants of Wages in Poland
9. Emerging Market Analysis: the Example of Warsaw Stock Exchange – rolling windows approach
10. Momentum and winner-loser strategies: Evidence for the Warsaw Stock Exchange
11. Causality of fear analysis: VIX vs. VWIG20
12. A Study on the Stability of Ensemble Trees: Example of the Polish Credit Scoring Application
13. Application of Multidimensional Analysis to Banking Development Evaluation
14. Investigation of β coefficient stability- rolling windows approach 
15. Badanie efektywności GPW na przykładzie wybranych indeksów: test autokorelacji
16. Badanie efektywności ekonomicznej portfeli losowych generowanych dla kompozycji wybranych indeksów GPW w latach 2000-2006
17. Analiza wrażliwości rozwiązań wyznaczonych dla różnej struktury próby kredytobiorców: analiza dyskryminacyjna i drzewa klasyfikacyjne.
18. Modelowanie i prognozowanie kursu euro/dolar: modele autoregresyjne z rozkładami opóźnień i sztuczne sieci neuronowe