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portfolio diversification and net selectivity performance of mutual funds in iran by using fama decomposition model
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نویسنده
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sadeghi goghari samira ,souri ali ,abbasinejad hossein ,mehrara mohsen
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منبع
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iranian economic review - 2020 - دوره : 24 - شماره : 2 - صفحه:471 -487
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چکیده
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The main purpose of this paper is to analyze the performance of mutual funds in iran using the fama decomposition model (1972). thus, the daily data of 55 mutual funds during four years from 21/3/2014 to 21/3/2018 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.
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کلیدواژه
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fama decomposition model ,mutual funds ,net selectivity ,diversification ,risk
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آدرس
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university of tehran, kish international campus, department of economics, iran, university of tehran, faculty of economics, iran, university of tehran, faculty of economics, iran, university of tehran, faculty of economics, iran
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Authors
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