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Title:Investment style of Jordanian mutual funds PDF Logo
Authors:Hacini, Ishaq
Dahou, Khadra
Benbouziane, Mohamed
Issue Date:2012
Citation:[Journal:] International Journal of Economic Sciences and Applied Research [ISSN:] 1791-3373 [Volume:] 5 [Year:] 2012 [Issue:] 2 [Pages:] 113-127
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.
Subjects:mutual funds
4-factors model
investment style
market portfolio
size
book-to-market
momentum
JEL:C33
G11
G23
Document Type:Article
Appears in Collections:International Journal of Economic Sciences and Applied Research (IJESAR)

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