An Analysis of the Unobserved Actions of Iranian Mutual Funds using Return Gap Criteria

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Ebrahim Nejad Ali; Barakchian Seyyed Mahdi; Ghanipour Majid

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Journal: FINANCIAL RESEARCH Year:2018 | Volume:20 | Issue:1 Page(s): 33-52

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Information Journal Paper

Title

An Analysis of the Unobserved Actions of Iranian Mutual Funds using Return Gap Criteria

Author(s)

Ebrahim Nejad Ali | Barakchian Seyyed Mahdi | Ghanipour Majid | Issue Writer Certificate

Keywords

Holding-based performanceQ2

evaluationQ1

Mutual funds holdingsQ1

Quarterly disclosureQ1

Return GapQ1

portfolio managementQ1

Abstract

Objective: This study aims at measuring the effect of added valued of unobserved actions of mutual funds. Methods: Using Return Gap criteria– the difference between the return of hypothetical and actual return – the researchers examined the effect of indiscernible activities in mutual funds throughout seasonal reports. Results: The results showed that unreported activities in mutual funds create just enough value to offset their costs. Conclusion: We studied the unobserved actions of Iranian mutual funds among Quarterly disclosure of holdings. We measured the effect of these unobserved actions using Return Gap – the difference between the return of a hypothetical constant portfolio matching the fund’ s beginning of quarter and the fund’ s actual return. The results indicated that these actions create just enough value to offset the costs associated with them; hence, the net effect on returns to fund investors is zero. We further documented that the funds are able to create more value through these activities in bull markets.

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APA: Copy

Ebrahim Nejad, Ali, Barakchian, Seyyed Mahdi, & Ghanipour, Majid. (2018). An Analysis of the Unobserved Actions of Iranian Mutual Funds using Return Gap Criteria. FINANCIAL RESEARCH, 20(1 ), 33-52. SID. https://sid.ir/paper/91183/en

Vancouver: Copy

Ebrahim Nejad Ali, Barakchian Seyyed Mahdi, Ghanipour Majid. An Analysis of the Unobserved Actions of Iranian Mutual Funds using Return Gap Criteria. FINANCIAL RESEARCH[Internet]. 2018;20(1 ):33-52. Available from: https://sid.ir/paper/91183/en

IEEE: Copy

Ali Ebrahim Nejad, Seyyed Mahdi Barakchian, and Majid Ghanipour, “An Analysis of the Unobserved Actions of Iranian Mutual Funds using Return Gap Criteria,” FINANCIAL RESEARCH, vol. 20, no. 1 , pp. 33–52, 2018, [Online]. Available: https://sid.ir/paper/91183/en

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