CEEAplA Working Paper Series 2009
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Browsing CEEAplA Working Paper Series 2009 by Subject "Conditional Performance"
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- Portfolio performance evaluation : the case of the portuguese mutual funds marketPublication . Couto, Gualter; Brandão, Rita Marques; Roque, NunoIn this work, we investigate the portfolio performance evaluation of Portuguese mutual funds market. For that purpose, we used different models with daily data, where we tested different hypotheses: the existence of alphas with or without selectivity, and the existence of betas with or without timing. There are differences induced by the use of unconditional and conditional models based on non-temporal variation in profitability and risk. The results suggest that fund managers have some capacities of selectivity but not of timing.