Portfolio Diversification and Net Selectivity Performance of Mutual Funds in Iran by Using Fama Decomposition Model
Publish place: Iranian Economic Review Journal، Vol: 24، Issue: 2
Publish Year: 1399
نوع سند: مقاله ژورنالی
زبان: English
View: 80
This Paper With 17 Page And PDF Format Ready To Download
- Certificate
- من نویسنده این مقاله هستم
استخراج به نرم افزارهای پژوهشی:
شناسه ملی سند علمی:
JR_IER-24-2_009
تاریخ نمایه سازی: 21 مهر 1402
Abstract:
The main purpose of this paper is to analyze the performance of mutual funds in Iran using the Fama decomposition model (۱۹۷۲). Thus, the daily data of ۵۵ mutual funds during four years from ۲۱/۳/۲۰۱۴ to ۲۱/۳/۲۰۱۸ were investigated. First, the performance of mutual funds was broken down into Fama components to achieve this goal. It was shown that mutual fund diversification and risk performance were negative, but net selectivity performance was positive. Finally, the panel method was used to investigate the effect of Fama's components on the performance of mutual funds. The results indicated that the effect of Fama's components on the performance of mutual funds is positive, and the effects of the net selectivity and risk are more than diversification.
Keywords:
Authors
Samira Sadeghi Goghari
Department of Economics, Kish International Campus, University of Tehran, Kish, Iran.
Ali Souri
Faculty of Economics, University of Tehran, Tehran, Iran.
Hossein Abbasinejad
Faculty of Economics, University of Tehran, Tehran, Iran.
Mohsen Mehrara
Faculty of Economics, University of Tehran, Tehran, Iran.
مراجع و منابع این Paper:
لیست زیر مراجع و منابع استفاده شده در این Paper را نمایش می دهد. این مراجع به صورت کاملا ماشینی و بر اساس هوش مصنوعی استخراج شده اند و لذا ممکن است دارای اشکالاتی باشند که به مرور زمان دقت استخراج این محتوا افزایش می یابد. مراجعی که مقالات مربوط به آنها در سیویلیکا نمایه شده و پیدا شده اند، به خود Paper لینک شده اند :