تلخیص
Mutual Funds enable small investors to enjoy benefits of capital market
instruments with small amount through professional managers. This study with
special focus on Pakistani mutual fund industry tests the suitability of
multifactor asset pricing models to the mutual fund performance and verifying
the predictability of CAPM as a better estimator as compared to other two
multifactor asset pricing models, with a view to capture whether these models
justify the results of other emerging markets in Pakistan and whether CAPM
outperforms the other two competing models. We collect data of 100 open-end
mutual funds for the period 2005 to 2017 from Mutual Fund Association of
Pakistan; the risk free rates data from State Bank of Pakistan and Stock data
from Pakistan Stock Exchange. The study result has certain implications for the
managers of assets management companies as well as useful for the investors in
knowing which funds perform better and which kind of funds are ideal for
investment.
Keywords: Risk adjusted performance, CAPM, Fmam French-3 Factor, Carhart4 factor
Yasir Khan*, alam rehman. (2019) Pakistani Mutual Fund Performance: the demonstration of Multifactor Assets Pricing Models , Journal of Managerial Sciences, Volume 13, Issue 4.
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