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Information Journal Paper

Title

EVALUATING MARKET TIMING ABILITY OF MUTUAL FUND MANAGERS BASED ON CONDITIONAL AND UNCONDITIONAL APPROACHES

Pages

  45-59

Abstract

 Mutual Funds are one of the important elements of financial markets which act as financial intermediation and convert investment of amateur investors from direct condition to indirect.Given the importance of funds, this study tries to evaluate the market timing ability of managers' funds using conditional and unconditional models (Treynor–Mazuy and Henriksson–Merton) and compares both conditional and UNCONDITIONAL APPROACHes. Data relating to twenty-three funds are used during the period of 1388-1392, and generalized least squares regression analysis is performed by using EVIEWS6 software. The results indicate the inability of market timing in fund managers using both conditional and unconditional models. Moreover, the CONDITIONAL APPROACH does not provide higher explanatory power than the UNCONDITIONAL APPROACH.

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    APA: Copy

    ROSTAMI, MOHAMMAD REZA, ANSARI, HOJATTOLAH, & MOHAMMAD ALI, MARZIEH. (2017). EVALUATING MARKET TIMING ABILITY OF MUTUAL FUND MANAGERS BASED ON CONDITIONAL AND UNCONDITIONAL APPROACHES. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 5(1 (16) ), 45-59. SID. https://sid.ir/paper/245679/en

    Vancouver: Copy

    ROSTAMI MOHAMMAD REZA, ANSARI HOJATTOLAH, MOHAMMAD ALI MARZIEH. EVALUATING MARKET TIMING ABILITY OF MUTUAL FUND MANAGERS BASED ON CONDITIONAL AND UNCONDITIONAL APPROACHES. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2017;5(1 (16) ):45-59. Available from: https://sid.ir/paper/245679/en

    IEEE: Copy

    MOHAMMAD REZA ROSTAMI, HOJATTOLAH ANSARI, and MARZIEH MOHAMMAD ALI, “EVALUATING MARKET TIMING ABILITY OF MUTUAL FUND MANAGERS BASED ON CONDITIONAL AND UNCONDITIONAL APPROACHES,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 5, no. 1 (16) , pp. 45–59, 2017, [Online]. Available: https://sid.ir/paper/245679/en

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