Study of Security Selection and Market Timing Abilities in Mutual Funds in Iranian Capital Market
This study is an attempt to apply the market timing and<br />security selection models to evaluate the performance of Iranian<br />mutual funds. The research shed light on the questions of ‘how<br />successful are mutual funds in earning excess returns over those of the<br />...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2013-10-01
|
| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_51080_c50bcfde42f356e96c9f4c2c3c0ff7df.pdf |
| Summary: | This study is an attempt to apply the market timing and<br />security selection models to evaluate the performance of Iranian<br />mutual funds. The research shed light on the questions of ‘how<br />successful are mutual funds in earning excess returns over those of the<br />market?’ ‘Do the excess returns during research period have any<br />meaningful trend for these financial intermediaries or is it the result of<br />the ability for active management of portfolio?’ To answer these<br />questions, a sample of 8 mutual funds were chosen to investigate the<br />ability for active management, including market timing & security<br />selection, based on Treynor-Mazuy & Henriksson –Merton model.<br />The results indicated that there is no statistically significant market<br />timing ability in any of these cases, and positive security selection is<br />only observed in two mutual funds. |
|---|---|
| ISSN: | 1024-8153 2423-5377 |