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Croatian and Slovenian Mutual Funds and Bosnian Investments Funds (in English)

Author

Listed:
  • Boris Podobnik

    (Faculty of Civil Engineering, University of Rijeka, Rijeka, and Zagreb School of Economics and Management, Zagreb, Croatia)

  • Vanco Balen

    (Department of Mathematics, University of Zagreb, Zagreb, Croatia)

  • Timotej Jagric

    (Department of Quantitative Economic Analysis, Faculty of Economics and Business, University of Maribor, Maribor, Slovenia)

  • Marko Kolanovic

    (Bear, Stearns & Co. Inc., Equity Derivatives Strategy, New York)

Abstract

The paper provides a stock-market-performance analysis for three emerging European stock markets: Croatia, Slovenia, and Bosnia and Herzegovina. Using monthly observations we perform a detailed study of the performance of Croatian and Slovenian mutual funds and Bosnian investment funds. The risk-return measures of the funds are assessed using the Sharpe ratio, Treynor ratio, information ratio, Jensen’s alpha, and an appraisal ratio. Furthermore, we analyze the timing ability of the funds. Descriptive statistics for the returns are given and different statistic tests are calculated in order to test ordinary-least-squares assumptions in the data. The results are also estimated by applying the bootstrap method.

Suggested Citation

  • Boris Podobnik & Vanco Balen & Timotej Jagric & Marko Kolanovic, 2007. "Croatian and Slovenian Mutual Funds and Bosnian Investments Funds (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(3-4), pages 159-177, June.
    • Handle: RePEc:fau:fauart:v:57:y:2007:i:3-4:p:159-177
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    File URL: http://journal.fsv.cuni.cz/storage/7_fau_3_4_2007_0000000059.pdf
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    Citations

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    Cited by:

    1. Dariusz Filip, 2017. "Mutual Funds: Does the Performance Erosion Effect Exist? Evidence from the Czech Republic, Hungary and Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(6), pages 512-538, October.

    More about this item

    Keywords

    stock market; mutual fund; investment fund; risk/return measures;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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