Testing the application of inflows (outflows) of mutual funds in the assessment and prioritization of asset pricing models

Document Type : Original Article

Authors
Masoome Khermandar 1
Hamid Reza Vakilifard 2
Ghodrat Allah Talebnia 2
Ramezan Ali Royaee 3
1 Department of Management, Kish International Branch, Islamic Azad University, Kish Island, Iran
2 Faculty member of Islamic Azad University
3 faculty member of Faculty member of Islamic Azad University
Abstract
In this research, a new method based on quantitative variables, instead of price and return variables, has been presented to evaluate and prioritize capital asset pricing models. The present study, using capital inflows (outflows) of mutual funds (quantitative variable), has determined the model of capital asset pricing models (CAPM, F-F, F-F-C, CCAPM) that is mostly used by investors to decide on a allocation of capital. This study uses the data of mutual funds in the capital market of Iran during the period 1392 to 1396, and with the implementation of ordinary least squares regression (OLS) this method has been presented.
Keywords
capital inflows (outflows)
mutual funds
capital asset pricing models
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