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Investment style of Jordanian mutual funds

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Author Info

  • Ishaq Hacini

    ()
    (University of Mascara, Algeria)

  • Khadra Dahou

    ()
    (University of Tlemcen, Algeria)

  • Mohamed Benbouziane

    ()
    (University of Tlemcen, Algeria)

Abstract

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.

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Bibliographic Info

Article provided by Technological Educational Institute (TEI) of Kavala, Greece in its journal International Journal of Economic Sciences and Applied Research (IJESAR).

Volume (Year): 5 (2012)
Issue (Month): 2 (August)
Pages: 113-127

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Handle: RePEc:tei:journl:v:5:y:2012:i:2:p:113-127

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Related research

Keywords: Mutual funds; 4-factors Model; Investment Style; Market portfolio; Size; Book-to- Market; Momentum;

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  1. Bulkley, George & Nawosah, Vivekanand, 2009. "Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(04), pages 777-794, August.
  2. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
  3. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
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