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Investment style of Jordanian mutual funds

  • Ishaq Hacini


    (University of Mascara, Algeria)

  • Khadra Dahou


    (University of Tlemcen, Algeria)

  • Mohamed Benbouziane


    (University of Tlemcen, Algeria)

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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Article provided by Eastern Macedonia and Thrace Institute of Technology (EMATTECH), 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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  1. 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.
  2. 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.
  3. 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.
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