Selectivity, market timing and investment styles of mutual funds managers in the Jordanian context
Other Title(s)
قدرات مدراء الصناديق المشتركة على اختيار الأسهم، توقيت السوق و الأسلوب الاستثماري في الأردن
Dissertant
Thesis advisor
Comitee Members
al-Dayyat, Rasha Abd Allah
al-Zubaydi, Hamzah Mahmud
al-Shawawrah, Faysal Mahmud Muslim
University
Mutah University
Faculty
Faculty of Business
Department
Department of Business Administration and Marketing
University Country
Jordan
Degree
Master
Degree Date
2010
English Abstract
-The study investigated the mutual funds managers’ selectivity and timing abilities with respect to the mutual funds’ investment styles in the Jordanian context.
It used monthly returns of five mutual funds from July- 2000 to Decomber-2009.
The extended Treynor &Mazuy model was used to decompose the fund’s performance to selectivity and timing abilities.
This extended model takes in consideration the benchmarks biases and at the same time captures the market timing issues.
In addition, the model allows determining the funds’ investment styles and examines the ability of the funds’ managers to time these styles.
The study used four factors: market portfolio, size, book-to-market, and momentum as investment styles.
After the Autocorrelation and Heteroscedasticity corrections, the results revealed that the mutual funds’ managers, in general, exhibit superior selectivity, while they fail to time the market movements.
The mutual funds’ managers seem to invest in small, growth, and past winners stocks.
While it appears that the funds’ managers do not have superior abilities to time these investment styles.
The study recommends that the mutual fund’s managers should reassess the market and investment styles movements to invest in the right time to improve the fund’s returns.
The individual investors should choose the mutual funds that invest in small, growth, and past winner stocks because these funds yield superior stocks selection.
Keywords: Mutual fund, Treynor &Mazuy model, Selectivity, Investment styles, Market timing, Investment Styles timing.
Main Subjects
Topics
No. of Pages
97
Table of Contents
Table of contents.
Abstract.
Chapter one : Research background.
Chapter two : Theoretical framework and previous studies.
Chapter three : Design and methodology.
Chapter four : Results and duscussion.
Chapter five : conclusion and recommendations.
References.
American Psychological Association (APA)
Husayni, Ishaq Lakhdar. (2010). Selectivity, market timing and investment styles of mutual funds managers in the Jordanian context. (Master's theses Theses and Dissertations Master). Mutah University, Jordan
https://search.emarefa.net/detail/BIM-304616
Modern Language Association (MLA)
Husayni, Ishaq Lakhdar. Selectivity, market timing and investment styles of mutual funds managers in the Jordanian context. (Master's theses Theses and Dissertations Master). Mutah University. (2010).
https://search.emarefa.net/detail/BIM-304616
American Medical Association (AMA)
Husayni, Ishaq Lakhdar. (2010). Selectivity, market timing and investment styles of mutual funds managers in the Jordanian context. (Master's theses Theses and Dissertations Master). Mutah University, Jordan
https://search.emarefa.net/detail/BIM-304616
Language
English
Data Type
Arab Theses
Record ID
BIM-304616
