| تعداد نشریات | 60 |
| تعداد شمارهها | 2,034 |
| تعداد مقالات | 16,394 |
| تعداد مشاهده مقاله | 43,094,516 |
| تعداد دریافت فایل اصل مقاله | 24,672,980 |
Investigating the Performance and Performance Consistency of Iranian Mutual Funds Using CAPM& CARHART’s Four- Factor Models; A Comparative Approach | ||
| Journal of Mathematics and Modeling in Finance | ||
| مقاله 3، دوره 2، شماره 1، مهر 2022، صفحه 63-86 اصل مقاله (221.17 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2022.14565 | ||
| نویسندگان | ||
| Khadijeh Ghorbanidolatabadi* 1؛ Hasan Ghalibaf Asl2 | ||
| 1Iran Fara Bourse Company | ||
| 2Management Department, Faculty of Social Science & Economics, Alzahra Univercity, Tehran, Iran. | ||
| چکیده | ||
| This study seeks to investigate the performance as well as the performance consistency of Iranian mutual funds during the current and subsequent periods. To this end, the Capital Asset Pricing Model along with CARHART’s four-factor model have been utilized to analyze the performance and performance consistency of investment funds. In order to examine persistency, all models are divided into 10 portfolios (10 distributions) based on the performance of the past one year. Then we considered succeeding 12 months later. Our results revealed that mutual funds in Iran have not outperformed the market, but there is performance consistency. This means mutual funds with the best performance (worst performance) will perform the same (better or worse) in the upcoming years. However, the extent of the best and worst performance of mutual funds is not significantly different. The historical performance of mutual funds can, to some extent, explain future performance. Therefore, investors' reliance on the backgrounds of investment funds as a recourse for investment is well justified. In other words, if investors spend on mutual funds with a past outperformance, there is a reasonable assurance to be repeated the past and will be among the winning funds in future periods. The opposite is also true | ||
| کلیدواژهها | ||
| Mutual Funds Performance؛ Active Management؛ Panel Data؛ Consistency | ||
| مراجع | ||
|
[1] J. Biakowski, and R. Otten, Emerging market mutual fund performance: evidence for Poland. North American Journal of Economics and Finance, 22 (2011), 118e130.
[2] J. Zia-ur-Rehman Rao, Amjad Iqbal, Muhammad Zubair Tauni, Performance persistence in institutional investment management: The case of Chinese equity funds. (2016). [3] Jan Bartholdy and Paula Peare, International Review of Financial Analysis., Vol.14, issue 4, 407-427 (2005). [4] Berk, J., Green, R., Mutual fund ows and performance in rational markets.Journal of Political Economy, 112, 1269e1295.(2004). [5] L. Swinkels and P. Rzezniczak, Performance Evaluation of Polish Mutual Funds Manaders. International Journal of Emerging Markets, Vol. 4 (2009), No. Pp:26-42. [6] R. Hayat, and R. Kraeussl, Risk and return characteristics of Islamic equity funds. Emerging Markets Review, 12 (2011), 189e203. [7] M. Christensen, Danish mutual fund performance. Applied Economics Letters, 20(2013), 818e820. [8] Y. Chi, Performance evaluation of Chinese actively managed stock mutual funds Chicago Booth research paper (2013). 13-55. [9] Y. Chi, Private information in the Chinese stock market: Evidence from mutual funds and corporate insiders (Dissertations & theses egradworks). University of Chicago Booth School of Business and Department of Economics (Job market paper) (2015). [10] Y. Dai, D. Kong, and L. Wang, Information asymmetry, mutual funds and earnings management: evidence from China. China Journal of Accounting Research, 6(2013), 187e209. [11] Investment Company fact book. 46th edition (2006). [12] INVESTMENT COMPANY ACT OF 1940. [13] Z. Chen, and P. Xiong, Discounts on illiquid stocks: Evidence from China (Yale ICF working paper, 00-56) (2001). [14] L. Vicente, and L. Ferruz, Performance persistence in Spanish equity funds. Applied Financial Economics, 15(2005), 1305e1313 [15] H. Markowit, Portfolio Selection, Journal of Finance, 15(1952), 77- 91 [16] W. F. .Sharpe, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, Vol. :19 (1964), Pp:425-442 [17] M. C. Jensen, The performance of mutual funds in the period 1945-1964.The Journal of Finance, 23(1968), 389 416. [18] J. William, et al, Economics Principles and Policy. Book, 9th Edition, South Western Publish, (2002). [19] J. Cambell, and Mackinlay, The econometrics of nancial markets, Princeton,N.J ; chichester: Princeton University press, (1997). [20] C. R. Blake, J. Elton, and M. J. Gruber, The performance of bond mutualfunds. Journal of Business, 66 (1993), 371-403. [21] E. F. Fama, and K. R. French, Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33 (1993), 3e56. [22] D. E. Allen, and M. L. Tan, A test of the persistence in the performance of UK managed funds. Journal of Business Finance & Accounting, 26(1999), 559e593. [23] M. Grinblatt, and S. Titman, The persistence of mutual fund performance. Journal of Finance, 47 (1992), 1977e1984. [24] K. Cuthbertson, D.Nizsche, and N. Osullivan, Mutual fund performance.Working paper, Social Science Research Network, (2006). [25] A. Salehabadi, Y. Hasas Yeganeh, H. Zargham Boroujeni, and J. Ebadi, Investigating the performance of mutual funds with a behavioral stability measurement approach. Financial Research, Vol.18 (2016), Issue. 2. [26] D. Hendrick, J. Patel, and R. Zeckhauser, Hot hands in mutual funds: Shortrunpersistence of relative performance, 19741988. The Journal of Finance,48 (1993), 93 130. [27] D. Hendricks, J. Patel, and R. Zeckhauser, Hot hands in mutual funds: Shortrunpersistence of relative performance, 19741988. The Journal of Finance, 48(1993), 93 130. [28] H. Hekmat, The effect of past performance on cash owsof investment funds. Master Thesis, Al-Zahra University, (2014). [29] E. Elton, M. Gruber, and C. R. Blake, Survivorship bias and mutual fund performance. Review of Financial Studies, 9(1996). 1097e1120. [30] D. Blake, and A. Timmerman, Mutual fund performance: Evidence from the UK. European Finance Reviews, 2 (1998), 55-77. [31] N. P. B. Bollen, and J. A. Busse, Short-term persistence in mutual fund performance. The Review of Financial Studies, 18 (2005), 569 597. [32] S. Heffernan, All UK investment trusts are not the same (Faculty of nance working paper WPFF-04-2001). London: City University Business School, (2001). [33] R. Casarin, L. Pelizzon, and A. Piva, Italian equity funds: Efficiency and performance persistence. University Ca'Foscari of Venice. Dept. of Economics Research Paper Series, (2008). [34] B. Kan, and Marcus, 1996, p. 789. [35] J. A. Busse, A. Goyal and S. Wahal, Performance and persistence ininstitutional investment management, The Journal of Finance, 65 (2010), 765790. [36] C. Alves, and V. Mendes, Does performance explain mutual fund ows in small markets? The case of Portugal. Portuguese Economic Journal, 10 (2011), 129e147. | ||
|
آمار تعداد مشاهده مقاله: 256 تعداد دریافت فایل اصل مقاله: 357 |
||