Selectivity and Market-Timing Performance of Mutual Funds Using Human-Capital Augmented Various Asset-Pricing Models: Evidence from Pakistan

Authors

  • Mohammad Azam Department of Management Sciences, National University of Modern Languages, Peshawar Campus, Pakistan

DOI:

https://doi.org/10.56536/ijmres.v12i3.173

Keywords:

Human capital, Selectivity Skills, Market-timing ability, Carhart (1997) four model, mutual funds Association of Pakistan

Abstract

This study demonstrates the selectivity skills and market-timing ability performance of funds mangers through various sophisticated augmented asset pricing models. The results indicate better performance for selectivity and market-timing ability of fund managers but unexpectedly after adjusting size and value factors into the specifications, both demonstrate insignificant findings. It also investigates the nexus between various risk-adjusted factors including market, size, value, momentum and human-capital sixth-factor, with the excess portfolio mutual funds returns using sample of 120 open-ended mutual funds monthly data for the time span of 16 years 2005-2020. The simple and multivariate time-series OLS regression approaches are employed to investigate the nexus between various factors and mutual funds returns. The findings of the study evidenced statistically significant nexus of market, size and value factors with mutual funds returns while insignificant results for human-capital and momentum factors. Moreover, based on GRS test, the average absolute alpha of Income-Growth augmented CAPM is closer to zero therefore, assumed to be the best model among the risk-adjusted completing asset pricing models in mutual funds.

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Published

2022-10-10

How to Cite

Azam, M. (2022). Selectivity and Market-Timing Performance of Mutual Funds Using Human-Capital Augmented Various Asset-Pricing Models: Evidence from Pakistan. International Journal of Management Research and Emerging Sciences, 12(3). https://doi.org/10.56536/ijmres.v12i3.173