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PERFORMANCE EVALUATION OF PAKISTANS MUTUAL FUND INDUSTRY VALIDATING FAMA FRENCH 3 AND 5 FACTOR MODEL

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27 Pages : 257-266

http://dx.doi.org/10.31703/grr.2020(V-II).27      10.31703/grr.2020(V-II).27      Published : Jun 2020

Performance Evaluation of Pakistan's Mutual Fund Industry: Validating Fama French 3 And 5 Factor Model

Abstract

    In order to evaluate the performance of the mutual fund industry in various financial markets, a wide variety of researches have been conducted, which lead to different results. As the Pakistani mutual fund industry is much younger as compared to the US and UK fund industries and thus limited work has been done to evaluate the Pakistani mutual fund industry.Over the past few years, the industry has shown a phenomenal growth and it makes it worthwhile to study the performance of mutual funds. The aim of this research study is to validate the Fama French 3-Factor Model and Fama French 5-Factor Model. Also, this research attempts to test that which one of the included model performs better than the other so as to check their preferred suitability in measuring and evaluating the mutual fund performance in Pakistan. The monthly data of 323 open ended mutual funds for the period of 2008 to 2018 is analyzed. The GRS model validation test was applied, the results of the test found that the Fama French 5-Factor Model performed much better than the Fama French 3-Factor Model.This research contributes to the body of knowledge by providing academicians and practitioners more knowledge regarding multifactor asset pricing model so as to make better investment decisions.

    Mutual Funds, Performance Evaluation, Fama French 3- Factor Model, Fama French 5- Factor Model

    (1) Ayesha Iraj
    PhD Scholar, Institute of Business and Leadership, Abdul Wali Khan University, Mardan, KP, Pakistan.
    (2) Brekhna Gul
    Lecturer, Department of Economics, Faculty of Business and Economics, Adul Wali Khan University, Mardan, KP, Pakistan.
    (3) Muhammad Sohail Alam Khan
    Lecturer, Department of Economics, Faculty of Business and Economics, Adul Wali Khan University, Mardan, KP, Pakistan.
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Cite this article

APA

    APA : Iraj, A., Gul, B., & Khan, M. S. A. (2020). Performance Evaluation of Pakistan's Mutual Fund Industry: Validating Fama French 3 And 5 Factor Model. Global Regional Review, V(II), 257-266. https://doi.org/10.31703/grr.2020(V-II).27

CHICAGO

    CHICAGO : Iraj, Ayesha, Brekhna Gul, and Muhammad Sohail Alam Khan. 2020. "Performance Evaluation of Pakistan's Mutual Fund Industry: Validating Fama French 3 And 5 Factor Model." Global Regional Review, V (II): 257-266 doi: 10.31703/grr.2020(V-II).27

HARVARD

    HARVARD : IRAJ, A., GUL, B. & KHAN, M. S. A. 2020. Performance Evaluation of Pakistan's Mutual Fund Industry: Validating Fama French 3 And 5 Factor Model. Global Regional Review, V, 257-266.

MHRA

    MHRA : Iraj, Ayesha, Brekhna Gul, and Muhammad Sohail Alam Khan. 2020. "Performance Evaluation of Pakistan's Mutual Fund Industry: Validating Fama French 3 And 5 Factor Model." Global Regional Review, V: 257-266

MLA

    MLA : Iraj, Ayesha, Brekhna Gul, and Muhammad Sohail Alam Khan. "Performance Evaluation of Pakistan's Mutual Fund Industry: Validating Fama French 3 And 5 Factor Model." Global Regional Review, V.II (2020): 257-266 Print.

OXFORD

    OXFORD : Iraj, Ayesha, Gul, Brekhna, and Khan, Muhammad Sohail Alam (2020), "Performance Evaluation of Pakistan's Mutual Fund Industry: Validating Fama French 3 And 5 Factor Model", Global Regional Review, V (II), 257-266

TURABIAN

    TURABIAN : Iraj, Ayesha, Brekhna Gul, and Muhammad Sohail Alam Khan. "Performance Evaluation of Pakistan's Mutual Fund Industry: Validating Fama French 3 And 5 Factor Model." Global Regional Review V, no. II (2020): 257-266. https://doi.org/10.31703/grr.2020(V-II).27