EVALUATING THE SEQURITY SELECTION SKILL AND MARKET TIMING ABILITY OF IRANIAN MUTUAL FUND MANAGERS

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NIKOOMARAM HASHEM; FARAHANI AZADEH

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: INVESTMENT KNOWLEDGE Year:2018 | Volume:7 | Issue:25 Page(s): 61-82

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Title

EVALUATING THE SEQURITY SELECTION SKILL AND MARKET TIMING ABILITY OF IRANIAN MUTUAL FUND MANAGERS

Author(s)

NIKOOMARAM HASHEM | FARAHANI AZADEH | Issue Writer Certificate

Keywords

MUTUAL FUNDQ1

SECURITY SELECTIONQ1

MARKET TIMINGQ1

SINGLE FACTOR MODEL (JENSEN’S MEASURE)Q1

4-FACTOR CARHART MODELQ1

TREYNOR- MAUZEY MODELQ1

TIME SERIESQ1

REGRESSIONQ2

Abstract

This study intends to examine the SECURITY SELECTION abilities and MARKET TIMING abilities of Fund Managers in Iran by evaluating the performance of 5 MUTUAL FUNDs ranging in the period from the beginning of 1389 until the end of 1393. The models used to judge stock selection skills are Jensen (Single Factor) and Carhart (4 Factor). MARKET TIMING ability is evaluated using the Augmented TREYNOR- MAUZEY MODEL. To test the hypothesis of TIME SERIES data REGRESSION is used. The results showed that among research topic funds, according to the single factor model (jensen’s measure), only in one fund it also at a confidence level of 90%, SECURITY SELECTION to be seen as significant, and in confidence level of 95%, SECURITY SELECTION not significant in any case. according to the 4-FACTOR CARHART MODEL, only in one fund it also at a confidence level of 93%, SECURITY SELECTION to be seen as significant, and in confidence level of 95%, SECURITY SELECTION not significant in any case. MARKET TIMING in 4 of 5 samples was found to significantly that unfortunately every 4 cases were negative.

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APA: Copy

NIKOOMARAM, HASHEM, & FARAHANI, AZADEH. (2018). EVALUATING THE SEQURITY SELECTION SKILL AND MARKET TIMING ABILITY OF IRANIAN MUTUAL FUND MANAGERS. INVESTMENT KNOWLEDGE, 7(25 ), 61-82. SID. https://sid.ir/paper/187980/en

Vancouver: Copy

NIKOOMARAM HASHEM, FARAHANI AZADEH. EVALUATING THE SEQURITY SELECTION SKILL AND MARKET TIMING ABILITY OF IRANIAN MUTUAL FUND MANAGERS. INVESTMENT KNOWLEDGE[Internet]. 2018;7(25 ):61-82. Available from: https://sid.ir/paper/187980/en

IEEE: Copy

HASHEM NIKOOMARAM, and AZADEH FARAHANI, “EVALUATING THE SEQURITY SELECTION SKILL AND MARKET TIMING ABILITY OF IRANIAN MUTUAL FUND MANAGERS,” INVESTMENT KNOWLEDGE, vol. 7, no. 25 , pp. 61–82, 2018, [Online]. Available: https://sid.ir/paper/187980/en

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