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Iranian Economic Review، جلد ۲۴، شماره ۲، صفحات ۴۷۱-۴۸۷
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عنوان انگلیسی Portfolio Diversification and Net Selectivity Performance of Mutual Funds in Iran by Using Fama Decomposition Model
چکیده انگلیسی مقاله T he main purpose of this paper is to analyze the performance of mutual funds in Iran by using Fama decomposition model (1972). Thus, daily data of 55 mutual funds during a four-year period from 21/3/2014 to 21/3/2018 were investigated. To achieve this goal, firstly, the performance of mutual funds was broken down into Fama components, and it was shown that the diversification performance and risk performance of mutual funds 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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نویسندگان مقاله Samira Sadeghi Goghari |
Department of Economics, Kish International Campus, University of Tehran, Kish, Iran.

Ali Souri |
Faculty of Economics, University of Tehran, Tehran, Iran.

Hossein Abbasinejad |
Faculty of Economics, University of Tehran, Tehran, Iran.

Mohsen Mehrara |
Faculty of Economics, University of Tehran, Tehran, Iran.

نشانی اینترنتی https://ier.ut.ac.ir/article_76014_de5baa2f5ca9f02d96d692fb5f7759a1.pdf
فایل مقاله اشکال در دسترسی به فایل - ./files/site1/rds_journals/434/article-434-2409961.pdf
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