Using the Treynor and Mazoy model (expanded by Fama to evaluate management performance for asset allocation among investment units), this paper examines the management’s performance in Funds and Investment companies in Tehran Stock Exchange during 2004-2010. The results do not support the application of management market timing during the study period and managers were only able to create additional return over the market return in few periods. The results from the return model do not show that managers of Funds and investment companies obtained an appropriate asset allocation to investment units. Overall, our results do not provide support for the management use of market timing skills.
Etemadi, H. , Daghani, R. , Azizkhani, M. and Farahbakhsh, S. (2014). Timing in Portfolio Evaluation: Evidence of capital market. Financial Research Journal, 16(1), 25-36. doi: 10.22059/jfr.2014.51838
MLA
Etemadi, H. , , Daghani, R. , , Azizkhani, M. , and Farahbakhsh, S. . "Timing in Portfolio Evaluation: Evidence of capital market", Financial Research Journal, 16, 1, 2014, 25-36. doi: 10.22059/jfr.2014.51838
HARVARD
Etemadi, H., Daghani, R., Azizkhani, M., Farahbakhsh, S. (2014). 'Timing in Portfolio Evaluation: Evidence of capital market', Financial Research Journal, 16(1), pp. 25-36. doi: 10.22059/jfr.2014.51838
CHICAGO
H. Etemadi , R. Daghani , M. Azizkhani and S. Farahbakhsh, "Timing in Portfolio Evaluation: Evidence of capital market," Financial Research Journal, 16 1 (2014): 25-36, doi: 10.22059/jfr.2014.51838
VANCOUVER
Etemadi, H., Daghani, R., Azizkhani, M., Farahbakhsh, S. Timing in Portfolio Evaluation: Evidence of capital market. Financial Research Journal, 2014; 16(1): 25-36. doi: 10.22059/jfr.2014.51838
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