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Investment style of Jordanian mutual funds

Author

Listed:
  • 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.

Suggested Citation

  • Ishaq Hacini & Khadra Dahou & Mohamed Benbouziane, 2012. "Investment style of Jordanian mutual funds," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 5(2), pages 113-127, August.
    • Handle: RePEc:tei:journl:v:5:y:2012:i:2:p:113-127
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    References listed on IDEAS

    as
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    3. Lee, Cheng Few & Rahman, Shafiqur, 1990. "Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 63(2), pages 261-278, April.
    4. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    5. 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.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Mutual funds; 4-factors Model; Investment Style; Market portfolio; Size; Book-to- Market; Momentum;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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