A Survey on Iranian Stock Exchange Market and Determination of Influencing Factors onAnnual Return of Mutual Funds

اقتصاد پولی مالی

Article 6, Volume 21, Issue 8, January 2015, Pages 128-152   

Document Type: پژوهشی

DOI: 10.22067/pm.v21i8.45861

Authors

Gholam Reza Eslami Bidgoli^* ; Albert Boghosian; Mahdi Azadvari

Abstract

Abstract
Financial markets in recent decades are faced by salient evolution. The roles of exclusive special financial intermediates, especially banks, are decreased somedeal by the appearance of new financial intermediates and new financial instruments. Special place for intermediates like mutual funds and investment companies with variable invest are opened. That means some of the banking customers accept higher risk instead of they only open an ordinary long term deposit account and they convict to small banking profit. They would prefer to invest in market via these intermediates for getting higher profit and higher risk. The role of investment companies and mutual funds at this way are important that they act as an asset portfolio manager for investors. The main objective of this paper is to survey the effective factors on mutual funds return in Tehran Stock Exchange (TSE) with regard to recent development of this kind financial institution.
In this research, weekly data of 19 Mutual Funds for the period of 2009 to 2011 is used. Seven factors are considered including: market return, value of units issued, value of units redeemed, funds value`s growth rate, capital activity ratio, ownership structure, risk (absolute deviation), number of industries in fund`s portfolio, cash amount which is hold by funds, and funds return of pervious period.
Analysis has been done by using OLS with panel data structure and fixed effect. Findings show that four factors including: market return, funds value`s growth rate, risk (absolute deviation), capital activity ratio, and can affect on funds return.

Keywords

Mutual Funds; Fund's Rate of Return; Fund's Cash amount; Fund's Value; Value of issues and redemptions

References

[1]- BidgoliEslami, Gholamreza, Reza Tehrani and Zahra Shirazian(2006). Investigating The Relation between investment Companies Performance based on Triner, Jensen and Sharp Indexes and The Size of Companies.Journal of Financial Researches; 91:3-24 (in Persian).##

[2]- Tehran Exchange Organization. Different Publications (in Persian).##

[3]- Tehran Exchange Organization. (2011), Financial Institutions, A Guide toTehran Exchange Organization, p 152. (in Persian).##

[4]- Saiidi, A. and A. Moghaddasian (2006) Evaluating The Mutual Funds Performance in Iran, The Quarterly of Tehran Stock Exchange, Vol. 9. 91:3-24 (in Persian).##

[5]- Baker and Haslem. (1974). Risk and Performance Analysis for Decision Making. Blackwell, Vol. :42, Pp:300-345. ##

[6]- Carhart, M. M. (1997). On Persistenxe in Mutual Fund Performance. Journal of Finance, Vol. :52,Pp:57-82. ##

[7]- Chen, J. , H. Hong, M. Huang, and J. D. Kubik, (2003). Does Fund Size Erode Mutual Fund Perfprmance? The Role of Liquidity and Organization. working paper. ##

[8]- Chen, W. K. , Y. J. Chen, and T. Ch. Chen. (2007). Using Efficiency Ratio to Measure Fund Performance. Journal of Asset Management Vol. 8, No. 6, Pp: 352-360. ##

[9]- Chevalier, J. and G. Ellison. )1999(. Are some mutual fund managers better than others? Cross-sectional patterns in behavior and performance, Journal of Finance 54, 875-889. ##

[10]- David G. shrinder et al. (2007). Does Size Matter? An Analysis of Mutual Fund Transaction Size" Farmer School of Business, Journal of money. ##

[11]- Droms, W. G. and D. A. Walker. (1994). Investment Performance of International Mutual Funds: Journal of Financial Research. Vol. :17,P:1. ##

[12]- Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical work. Journal of Finance, Vol. :25, P:3383-417##

[13]- Golec, G. H. (1996). The Effects of Mutual Fund Managers. Characteristics on their Portfolio Performance, Risk and Fees. Financial Services Review, vol. :5, Pp:133-148##

[14]- Grinblatt, M. and S. Titman. (1989). Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings. Journal of Business, Vol. :62,P:393.##

[15]- Hitoshi, T et al. (2007). The Impact of Fund Turnover on Japanese Mutual Fund Performance. Journal of National University of Singapore. ##

[16]- Javed, A. A. (2008). Swedish Mutual Funds Performance. Master Degree Project, Vol. :55,Pp:10-35##

[17]- Jensen, M. C. (1968). The Performance of Mutual Funds in the period 1945-1964. Journal of Finance, Vol. :23,P:389-416. ##

[18]- Malhotra, D. K. and R. W. McLeod. (1997). An empirical analysis of mutual fund expenses, Journal of Financial Research, 20, 175-190.##

[19]- Malkiel, B. G. (1995). Returns from investing in equity mutual funds 1971-1991, Journal of Finance, 549-572. ##

[20]- Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, Vol. :19, Pp:425-442##

[21]- Sharpe, W. F. (1966). Mutual Fund Performance. Journal of Business, Vol.:39 Pp: 119-138. ##

[22]- Sorros, J. N. (2001). Equity Mutual Fund Managers Performance in Greece. Managerial Finance, Vol. 27, No. 6, Pp:68-74##

[23]- Swinkels, L. , P. Rzezniczak. (2009). Performance Evaluation of Polish Mutual Funds Manaders. International Journal of Emerging Markets, Vol. 4, No. Pp:26-42. ##

[24]- Talat A. and A. Rauf. (2009). Performance Evaluation Of Pakistani Mutual Funds. Pakistan economic and social Review, Vol. :47, Pp:199-214##

[25]- Teerapan et al. (2010). Mutual Fund Performance In Emerging Markets: The case of Thailand. Doctor of Philosophy. ##

[26]- Wermers, R., Mutual Fund Performance: An Empirical Decomposition into Stock Picking Talent, Style, Transactions Cost and Expenses. Journal of Finance, Vol. : 55 ,Pp: 1655-1703.##

[27]- William, J., et al. (2002). Economics Principles and Policy. Book, 9th Edition, South Western Publish. ##