An Evaluation of Mutual Funds Performance in Iranian Capital Market by combining Market Timing Models with the Fama and French three Factor Model

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Abdoh Tabrizi Hossein; asadi gharehjeloo behrang

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

Journal Paper

Paper Information

Journal: INVESTMENT KNOWLEDGE Year:2019 | Volume:8 | Issue:31 Page(s): 175-191

Download Full-Text

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

Persian Verion

View:

346

Download:

Cites:

Information Journal Paper

Title

An Evaluation of Mutual Funds Performance in Iranian Capital Market by combining Market Timing Models with the Fama and French three Factor Model

Author(s)

Abdoh Tabrizi Hossein | asadi gharehjeloo behrang | Issue Writer Certificate

Keywords

market-timingQ1

security selectionQ1

combined modelsQ1

mutual fundQ1

Fama & French modelQ1

Abstract

The aim of this study is to consider the combination of market timing models with Fama-French three factor model to evaluate the performance of mutual funds in Iran capital market. To follow this purpose, a sample of 12 mutual funds for the years of 2011-2015 has been chosen. At first step, active management skills including market timing & security selection based on Treynor-Mazuy & Henriksson – Merton models for individual funds and then for all of the funds, using panel model, was applied. The results show that there is no statistically significant market timing ability and security selection among any of these cases. Although a Positive statistically significant size and book to market ratio effect, respectively, in one and three mutual funds is observed. As a result of panel model, there is a negative statistically significant size effect and security selection, a positive statistically significant beta and book to market ratio, and there is no market timing ability in both Treynor-Mazuy & Henriksson – Merton models. In contrast to traditional models, combined models show better results.

Cites

No record.

References

No record.

Cite

APA: Copy

Abdoh Tabrizi, Hossein, & asadi gharehjeloo, behrang. (2019). An Evaluation of Mutual Funds Performance in Iranian Capital Market by combining Market Timing Models with the Fama and French three Factor Model. INVESTMENT KNOWLEDGE, 8(31 ), 175-191. SID. https://sid.ir/paper/402483/en

Vancouver: Copy

Abdoh Tabrizi Hossein, asadi gharehjeloo behrang. An Evaluation of Mutual Funds Performance in Iranian Capital Market by combining Market Timing Models with the Fama and French three Factor Model. INVESTMENT KNOWLEDGE[Internet]. 2019;8(31 ):175-191. Available from: https://sid.ir/paper/402483/en

IEEE: Copy

Hossein Abdoh Tabrizi, and behrang asadi gharehjeloo, “An Evaluation of Mutual Funds Performance in Iranian Capital Market by combining Market Timing Models with the Fama and French three Factor Model,” INVESTMENT KNOWLEDGE, vol. 8, no. 31 , pp. 175–191, 2019, [Online]. Available: https://sid.ir/paper/402483/en

Related Journal Papers