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Three-factor market-timing models with Fama and French’s spread variables

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  • Joanna Olbryś

Abstract

The traditional performance measurement literature has attempted to distinguish security selection, or stock-picking ability, from market-timing, or the ability to predict overall market returns. However, the literature finds that it is not easy to separate ability into such dichotomous categories. Some researchers have developed models that allow the decomposition of manager performance into market-timing and selectivity skills. The main goal of this paper is to present modified versions of classic market-timing models with Fama and French’s spread variables SMB and HML, in the case of Polish equity mutual funds.

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  • Joanna Olbryś, 2010. "Three-factor market-timing models with Fama and French’s spread variables," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 20(2), pages 91-106.
    • Handle: RePEc:wut:journl:v:2:y:2010:p:91-106
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    References listed on IDEAS

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