Investment style of Jordanian mutual funds

Artikel

The study investigates the mutual funds investment style in the Jordanian context. It uses monthly returns of five mutual funds from July 2000 to December 2009. To do so, it employs the 4-factors model with explanatory variables the market portfolio return, a small minus large capitalization indicator variable, a high minus low book-to-market indicator variable, and a variable that account for momentum effect. These factors are used as benchmarks to investigate the investment style. The results indicate that mutual funds returns tend to follow those of the market portfolio. In terms of investment style, mutual funds managers tend to favor small capitalization stocks, past winners stocks, and low book-to-market ratio stocks, respectively.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: International Journal of Economic Sciences and Applied Research ; ISSN: 1791-3373 ; Volume: 5 ; Year: 2012 ; Issue: 2 ; Pages: 113-127 ; Kavala: Kavala Institute of Technology

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models ; Portfolio Choice; Investment Decisions ; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
• Thema: mutual funds ; 4-factors model ; investment style ; market portfolio ; size ; book-to-market ; momentum ; Investmentfonds ; Kapitalanlage ; Portfolio-Management ; Kapitalertrag ; Jordanien

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Hacini, Ishaq ; Dahou, Khadra ; Benbouziane, Mohamed
• Ereignis: Veröffentlichung
• (wer): Kavala Institute of Technology
• (wo): Kavala
• (wann): 2012

Weitere Informationen

• Handle: http://hdl.handle.net/10419/66591
• Letzte Aktualisierung: 20.09.2024, 08:23 MESZ