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 fiveâ€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 Unpublished master's thesis).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 fiveâ€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.
- Lückoff, 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. Yüksek 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.
- 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 fiveâ€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 fiveâ€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.
- Lückoff, 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. Yüksek 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.
Cite this article
-
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 : 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 : 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 : 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 : 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 : 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 : 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