نوع مقاله : مقاله علمی پژوهشی
نویسندگان
1 دکتری علوم مالی و بانکداری، دانشگاه منچستر، انگلستان
2 دانشجوی دکتری مالی، دانشکدۀ مدیریت دانشگاه تهران، ایران
3 دانشجوی کارشناسی ارشد مدیریت صنعتی، دانشکدۀ مدیریت و حسابداری دانشگاه شهید بهشتی، تهران، ایران
چکیده
کلیدواژه‌ها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
This study is an attempt to apply the market timing and
security selection models to evaluate the performance of Iranian
mutual funds. The research shed light on the questions of ‘how
successful are mutual funds in earning excess returns over those of the
market?’ ‘Do the excess returns during research period have any
meaningful trend for these financial intermediaries or is it the result of
the ability for active management of portfolio?’ To answer these
questions, a sample of 8 mutual funds were chosen to investigate the
ability for active management, including market timing & security
selection, based on Treynor-Mazuy & Henriksson –Merton model.
The results indicated that there is no statistically significant market
timing ability in any of these cases, and positive security selection is
only observed in two mutual funds.
کلیدواژه‌ها [English]
)