GRR - Global Regional Review

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

http://dx.doi.org/10.31703/grr.2020(V-II).27 10.31703/grr.2020(V-II).27
Authored by : AyeshaIraj , BrekhnaGul , Muhammad SohailAlam Khan

27 Pages : 257-266

References

Afza, T., & Rauf, A. (2009). Performance evaluation of Pakistani mutual funds. Pakistan economic and social review, 47(2), 199-214.
Anjum, S., Ejaz, A., & Ahmed, A. (2016). Price Momentum Investment Strategy and Sub-Variants: An Evidence from Colombo Stock Exchange. Asian Management Research Journal 1(1), 49-63
Cai, J., Chan, K. C., & Yamada, T. (1997). The performance of Japanese mutual funds. Review of Financial Studies, 10(2), 237-274.
Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.
Carlson, R. S. (1970). Aggregate performance of mutual funds, 1948-1967.Journal of Financial and Quantitative Analysis, 5(01), 1-32.
Chiah, M., Chai, D., Zhong, A., & Li, S. (2016). A Better Model? An empirical investigation of the Fama-French fiveÃ¢Â€Âfactor model in Australia. International Review of Finance, 16(4), 595-638.
Detzel, F. L., & Weigand, R. A. (1998). Explaining persistence in mutual fund performance. Financial Services Review, 7(1), 45-55
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.
Farooq, S. U. (2018). Performance Evaluation of Pakistani Mutual Funds: Through CAPM model. Abasyn University Journal of Social Sciences, 12(1), 12-20.
Foye, J. (2018). A comprehensive test of the Fama-French five-factor model in emerging markets. Emerging Markets Review, 37, 199-222.
Huiji, & Verbeek. (2006). The Evaluation of Mutual Fund Performance. The Journal of Finance 61(1). 1121-1152
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91.
Khan, S., Siddiqui, M. F., & Khan, S. U. (2016). Momentum strategies and Karachi stock exchange. International Peer-reviewed Journal, 26(1), 51-61.
Kothari, S. P., & Warner, J. B. (2001). Evaluating mutual fund performance. The Journal of Finance, 56(5), 1985- 2010
Kampman, T. (2011). Explaining Stock Returns: the CAPM, Fama-French Three-Factor Model and Carhart's Four Factor Model. Unpublished master's thesis). Tilburg University.
Kubota, K., & Takehara, H. (2018). Does the Fama and French fiveÃ¢Â€Âfactor model work well in Japan? International Review of Finance, 18(1), 137-146.
Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. The journal of finance, 20(4), 587-615.
LÃƒÂ¼ckoff, P. (2011). Mutual Fund Performance and Performance Persistence: The impact of fund flows and manager changes (1st ed.). Berlin, Germany: Springer Science & Business Media
Miller, T. W., & Nicholas, G. (1980).
Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the econometric society, 768-783.
Murthi, B. P. S., Choi, Y. K., & Desai, P. (1997). Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach. European Journal of Operational Research, 98(2), 408-418.
Nazir, M. S., & Nawaz, M. M. (2010). The determinants of mutual fund growth in Pakistan. International Research Journal of Finance and Economics, 54(2010), 75-84.
Otten, R. & Bams, D. (2004). How to Measure Mutual Funds Performance: Economic Versus Statistical Relevance. Journal of Accounting and Finance 44, 203-222
Otten, R., & Dennis. (1999). European mutual fund performance. European Financial Management 8(1), 75-101.
Paliienko, O., Naumenkova, S., & Mishchenko, S. (2020). An empirical investigation of the Fama-French five- factor model. Investment Management and Financial Innovations, 17(1), 143-155.
Rasheed,S., Saood,U., Alam, W., Ullah, M. I. (2019). Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange. Abasyn Journal of Social Sciences, 12(1), 12-20.
Roy, R., & Shijin, S. (2018). A six-factor asset pricing model. Borsa Istanbul Review, 18(3), 205-217.
Rehman, A., & Baloch, Q. B. (2016). Evaluating Pakistan's Mutual Fund Performance: Validating through CAPM and Fama French 3-Factor Model. Journal of Managerial Sciences, 10(1), 173-182.
Sap, R., & Tiwari, A. (2004). Evaluating mutual fund performance. The Journal of Finance 52(2). 77-92
Sharpe, W. F. (1964). Mutual Fund Performance. Journal of Business 39, 119-38
Sipra, N. (2006). Mutual fund performance in Pakistan, 1995-2004. Centre for Management and Economic Research (CMER), 1-14.
Sundqvist, T. (2017). Tests of a Fama-French Five-Factor Asset Pricing Model in the Nordic Stock Markets. YÃƒÂ¼ksek Lisans Tezi. Hanken School of Economics, Finland
Urooj, S. F. (2017). Multifactor Asset Pricing Model for Pakistani Equity Market. Can it Predict Industry Returns? (Doctoral dissertation, Capital University).
Yi, L., Liu, Z., He, L., Qin, Z., & Gan, S. (2018). Do Chinese mutual funds time the market? Pacific-Basin Finance Journal, 47, 1-19.

References

Afza, T., & Rauf, A. (2009). Performance evaluation of Pakistani mutual funds. Pakistan economic and social review, 47(2), 199-214.
Anjum, S., Ejaz, A., & Ahmed, A. (2016). Price Momentum Investment Strategy and Sub-Variants: An Evidence from Colombo Stock Exchange. Asian Management Research Journal 1(1), 49-63
Cai, J., Chan, K. C., & Yamada, T. (1997). The performance of Japanese mutual funds. Review of Financial Studies, 10(2), 237-274.
Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.
Carlson, R. S. (1970). Aggregate performance of mutual funds, 1948-1967.Journal of Financial and Quantitative Analysis, 5(01), 1-32.
Chiah, M., Chai, D., Zhong, A., & Li, S. (2016). A Better Model? An empirical investigation of the Fama-French fiveÃ¢Â€Âfactor model in Australia. International Review of Finance, 16(4), 595-638.
Detzel, F. L., & Weigand, R. A. (1998). Explaining persistence in mutual fund performance. Financial Services Review, 7(1), 45-55
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.
Farooq, S. U. (2018). Performance Evaluation of Pakistani Mutual Funds: Through CAPM model. Abasyn University Journal of Social Sciences, 12(1), 12-20.
Foye, J. (2018). A comprehensive test of the Fama-French five-factor model in emerging markets. Emerging Markets Review, 37, 199-222.
Huiji, & Verbeek. (2006). The Evaluation of Mutual Fund Performance. The Journal of Finance 61(1). 1121-1152
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91.
Khan, S., Siddiqui, M. F., & Khan, S. U. (2016). Momentum strategies and Karachi stock exchange. International Peer-reviewed Journal, 26(1), 51-61.
Kothari, S. P., & Warner, J. B. (2001). Evaluating mutual fund performance. The Journal of Finance, 56(5), 1985- 2010
Kampman, T. (2011). Explaining Stock Returns: the CAPM, Fama-French Three-Factor Model and Carhart's Four Factor Model. Unpublished master's thesis). Tilburg University.
Kubota, K., & Takehara, H. (2018). Does the Fama and French fiveÃ¢Â€Âfactor model work well in Japan? International Review of Finance, 18(1), 137-146.
Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. The journal of finance, 20(4), 587-615.
LÃƒÂ¼ckoff, P. (2011). Mutual Fund Performance and Performance Persistence: The impact of fund flows and manager changes (1st ed.). Berlin, Germany: Springer Science & Business Media
Miller, T. W., & Nicholas, G. (1980).
Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the econometric society, 768-783.
Murthi, B. P. S., Choi, Y. K., & Desai, P. (1997). Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach. European Journal of Operational Research, 98(2), 408-418.
Nazir, M. S., & Nawaz, M. M. (2010). The determinants of mutual fund growth in Pakistan. International Research Journal of Finance and Economics, 54(2010), 75-84.
Otten, R. & Bams, D. (2004). How to Measure Mutual Funds Performance: Economic Versus Statistical Relevance. Journal of Accounting and Finance 44, 203-222
Otten, R., & Dennis. (1999). European mutual fund performance. European Financial Management 8(1), 75-101.
Paliienko, O., Naumenkova, S., & Mishchenko, S. (2020). An empirical investigation of the Fama-French five- factor model. Investment Management and Financial Innovations, 17(1), 143-155.
Rasheed,S., Saood,U., Alam, W., Ullah, M. I. (2019). Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange. Abasyn Journal of Social Sciences, 12(1), 12-20.
Roy, R., & Shijin, S. (2018). A six-factor asset pricing model. Borsa Istanbul Review, 18(3), 205-217.
Rehman, A., & Baloch, Q. B. (2016). Evaluating Pakistan's Mutual Fund Performance: Validating through CAPM and Fama French 3-Factor Model. Journal of Managerial Sciences, 10(1), 173-182.
Sap, R., & Tiwari, A. (2004). Evaluating mutual fund performance. The Journal of Finance 52(2). 77-92
Sharpe, W. F. (1964). Mutual Fund Performance. Journal of Business 39, 119-38
Sipra, N. (2006). Mutual fund performance in Pakistan, 1995-2004. Centre for Management and Economic Research (CMER), 1-14.
Sundqvist, T. (2017). Tests of a Fama-French Five-Factor Asset Pricing Model in the Nordic Stock Markets. YÃƒÂ¼ksek Lisans Tezi. Hanken School of Economics, Finland
Urooj, S. F. (2017). Multifactor Asset Pricing Model for Pakistani Equity Market. Can it Predict Industry Returns? (Doctoral dissertation, Capital University).
Yi, L., Liu, Z., He, L., Qin, Z., & Gan, S. (2018). Do Chinese mutual funds time the market? Pacific-Basin Finance Journal, 47, 1-19.