Managerial Factors in Investment Risk: Evidence from Polish Mutual Funds

Dariusz Filip

doi:10.2478/fiqf-2020-0001

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Managerial Factors in Investment Risk: Evidence from Polish Mutual Funds

Financial Internet Quarterly

Volume 16 (2020): Issue 1 (March 2020)

By: Dariusz Filip

Open Access

|Mar 2020

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Abstract

The aim of this study is to examine whether investment risk is related to the managerial factors characterising portfolio managers. The study employs four risk measures and a set of individual manager characteristics, including socio-demographic variables determining a manager profile. The analysis is conducted based on data for 144 portfolio managers from 43 domestic equity funds operating in Poland in the period 2000-2015. The examinations are made possible by using static panel models. The obtained results indicate the existence of a relationship between managerial characteristics and risk measures, such as: standard deviation, beta coefficient, tracking error and bear-market percentile ranking. To our knowledge, it is the first paper to evaluate the investment risk of Polish mutual funds in relation to managerial characteristics.

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Articles in this issue

DOI: https://doi.org/10.2478/fiqf-2020-0001 | Journal eISSN: 2719-3454 (formerly 1734-039X)

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Language: English

Page range: 1 - 10

Submitted on: Jun 25, 2018

Accepted on: Jun 10, 2019

Published online: Mar 31, 2020

Published in print: Mar 1, 2020

Published by: University of Information Technology and Management in Rzeszow

In partnership with: Paradigm Publishing Services

Keywords:

mutual funds,

investment risk,

managerial characteristics,

human capital

JEL:

G23,

J24,

M12

Related subjects:

Business and economics,

Political economics,

Economic theory, systems and structures,

Microeconomics,

Macroeconomics,

Public finance and fiscal theory

© 2020 Dariusz Filip, published by University of Information Technology and Management in Rzeszow
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Volume 16 (2020): Issue 1 (March 2020)