Timing in Portfolio Evaluation: Evidence of capital market
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 applicatio...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | fas |
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University of Tehran
2014-03-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_51838_ed2bd44cb791b165f1bd34bc135917d5.pdf |
| _version_ | 1818984167561494528 |
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| author | Hossein Etemadi Reza Daghani Masoud Azizkhani Sarah Farahbakhsh |
| author_facet | Hossein Etemadi Reza Daghani Masoud Azizkhani Sarah Farahbakhsh |
| author_sort | Hossein Etemadi |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-20T18:14:42Z |
| format | Article |
| id | doaj.art-0e8b81c86d204f3aadacf7bc2247eff6 |
| institution | Directory Open Access Journal |
| issn | 1024-8153 2423-5377 |
| language | fas |
| last_indexed | 2024-12-20T18:14:42Z |
| publishDate | 2014-03-01 |
| publisher | University of Tehran |
| record_format | Article |
| series | تحقیقات مالی |
| spelling | doaj.art-0e8b81c86d204f3aadacf7bc2247eff62022-12-21T19:30:23ZfasUniversity of Tehranتحقیقات مالی1024-81532423-53772014-03-01161253610.22059/jfr.2014.5183851838Timing in Portfolio Evaluation: Evidence of capital marketHossein Etemadi0Reza Daghani1Masoud Azizkhani2Sarah Farahbakhsh3Ass Professor of Accounting , TMUTarbiat Modares University (TMU)Ass. Professor of Accouting , Ilam UniversityM.A Business Management (Finance)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.https://jfr.ut.ac.ir/article_51838_ed2bd44cb791b165f1bd34bc135917d5.pdfallocation, selectivity, manager skillstreynor – mazoy model |
| spellingShingle | Hossein Etemadi Reza Daghani Masoud Azizkhani Sarah Farahbakhsh Timing in Portfolio Evaluation: Evidence of capital market تحقیقات مالی allocation, selectivity, manager skills treynor – mazoy model |
| title | Timing in Portfolio Evaluation: Evidence of capital market |
| title_full | Timing in Portfolio Evaluation: Evidence of capital market |
| title_fullStr | Timing in Portfolio Evaluation: Evidence of capital market |
| title_full_unstemmed | Timing in Portfolio Evaluation: Evidence of capital market |
| title_short | Timing in Portfolio Evaluation: Evidence of capital market |
| title_sort | timing in portfolio evaluation evidence of capital market |
| topic | allocation, selectivity, manager skills treynor – mazoy model |
| url | https://jfr.ut.ac.ir/article_51838_ed2bd44cb791b165f1bd34bc135917d5.pdf |
| work_keys_str_mv | AT hosseinetemadi timinginportfolioevaluationevidenceofcapitalmarket AT rezadaghani timinginportfolioevaluationevidenceofcapitalmarket AT masoudazizkhani timinginportfolioevaluationevidenceofcapitalmarket AT sarahfarahbakhsh timinginportfolioevaluationevidenceofcapitalmarket |