MEASURING RISK EXCESSES IN IRAN’S MUTUAL FUNDS INDUSTRY

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KORDBACHEH HAMID; HOZOORI MOHAMMAD JAVAD; MALMIR ALI

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Paper Information

Journal: INVESTMENT KNOWLEDGE Year:2012 | Volume:1 | Issue:2 Page(s): 117-139

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Information Journal Paper

Title

MEASURING RISK EXCESSES IN IRAN’S MUTUAL FUNDS INDUSTRY

Author(s)

KORDBACHEH HAMID | HOZOORI MOHAMMAD JAVAD | MALMIR ALI | Issue Writer Certificate

Keywords

MUTUAL FUNDSQ2

RETURN AND RISKQ2

SYSTEMATIC AND UNSYSTEMATIC RISKQ2

MULTI-DIRECTIONAL RISK-RETURN ANALYSISQ2

Abstract

The MUTUAL FUNDS industry has recently grown drastically and is now considered as an alternative channel investment in financial markets. Many of these funds are relatively risky in that for higher returns they aim to select growth companies which are expected to post large stock price increases. There are many traditional indices to assess the relationship between returns and risks in financial economics. The main drawback of these indices is being one-dimensional. This paper is to introduce and apply a new multi-criteria method based upon multi-directional inefficiency analysis to assess the relationship between RETURN AND RISK and to measure risk excesses of a sample of Iranian MUTUAL FUNDS in the year 2010. The findings of this study show that the sampled founds can acquire the same returns by merely accepting 66 and 64 per cent of the received unsystematic and systematic risks, respectively.

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References

MULTI - DIRECTIONAL EFFICIENCY ANALYSIS: A CASE STUDY OF IRANIAN BANKING INDUSTRY

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APA: Copy

KORDBACHEH, HAMID, HOZOORI, MOHAMMAD JAVAD, & MALMIR, ALI. (2012). MEASURING RISK EXCESSES IN IRAN’S MUTUAL FUNDS INDUSTRY. INVESTMENT KNOWLEDGE, 1(2), 117-139. SID. https://sid.ir/paper/188127/en

Vancouver: Copy

KORDBACHEH HAMID, HOZOORI MOHAMMAD JAVAD, MALMIR ALI. MEASURING RISK EXCESSES IN IRAN’S MUTUAL FUNDS INDUSTRY. INVESTMENT KNOWLEDGE[Internet]. 2012;1(2):117-139. Available from: https://sid.ir/paper/188127/en

IEEE: Copy

HAMID KORDBACHEH, MOHAMMAD JAVAD HOZOORI, and ALI MALMIR, “MEASURING RISK EXCESSES IN IRAN’S MUTUAL FUNDS INDUSTRY,” INVESTMENT KNOWLEDGE, vol. 1, no. 2, pp. 117–139, 2012, [Online]. Available: https://sid.ir/paper/188127/en

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