Assessment Of Portfolio Management Skills In Iranian Capital Market Mutual Funds: Baysian Model Averaging Approach

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asadi gharehjeloo behrang; Abdo Tabrizi Hossein

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Journal: Journal of Program & Development Research Year:2019 | Volume:1 | Issue:2 Page(s): 97-129

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Information Journal Paper

Title

Assessment Of Portfolio Management Skills In Iranian Capital Market Mutual Funds: Baysian Model Averaging Approach

Author(s)

asadi gharehjeloo behrang | Abdo Tabrizi Hossein | Issue Writer Certificate

Keywords

Mutual Fund

Securities Portfolio Management

Market Timing

Security Selection

Panel Regression

Time Series Regression

Baysian Model Averaging

Abstract

Evaluating portfolio management performance and Mutual Fund’ s active management abilities is of particular importance. Capital asset pricing model and holding portfolios model are among the most important studies to assess the ability of Mutual Funds Market Timing and Security Selection. This study attempts to investigate Market Timing and Security Selection ability of Iranian Mutual Funds during the period of 1393 to 1396. In this research, selected and total Mutual Funds’ performance in the form of time series and panel data model is evaluated using the combination of capital asset pricing model, including Treynor-Mazuy and Henriksson-Merton, with Fama-French three factor model. In the next step, using holding portfolios model including Kacperczyk and Alda, Market Timing and Security Selection ability of Mutual Funds have been evaluated and related statistics have been extracted. Eventually, using Bayesian Model Averaging approach, by implementing and evaluating numerous models consisting of variables used, posterior probability and probability of the inclusion of each variable in chosen models are presented.

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APA: Copy

asadi gharehjeloo, behrang, & Abdo Tabrizi, Hossein. (2019). Assessment Of Portfolio Management Skills In Iranian Capital Market Mutual Funds: Baysian Model Averaging Approach. JOURNAL OF PROGRAM AND DEVELOPMENT RESEARCH, 1(2 ), 97-129. SID. https://sid.ir/paper/368018/en

Vancouver: Copy

asadi gharehjeloo behrang, Abdo Tabrizi Hossein. Assessment Of Portfolio Management Skills In Iranian Capital Market Mutual Funds: Baysian Model Averaging Approach. JOURNAL OF PROGRAM AND DEVELOPMENT RESEARCH[Internet]. 2019;1(2 ):97-129. Available from: https://sid.ir/paper/368018/en

IEEE: Copy

behrang asadi gharehjeloo, and Hossein Abdo Tabrizi, “Assessment Of Portfolio Management Skills In Iranian Capital Market Mutual Funds: Baysian Model Averaging Approach,” JOURNAL OF PROGRAM AND DEVELOPMENT RESEARCH, vol. 1, no. 2 , pp. 97–129, 2019, [Online]. Available: https://sid.ir/paper/368018/en

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