Examining the Picking and Timing skills of managers of mutual investment funds in Iran: Panel Smooth Transition Regression (PSTR)

Document Type : Original Article

Authors
mohammad javad farhang 1
Mohammadreza Setayesh 2
hashem valipour 3
Seyed Jamaledin Tabibi 4
1 Ph.D. Student, Department of Financial Management, Science and Research Branch, Islamic Azad University, Tehran, Iran
2 Assistant Professor, Department of Financial Management, Science and Research Branch, Islamic Azad University, Tehran, Iran
3 Associate Professor, Department of Accounting, Shiraz Branch, Islamic Azad University, Shiraz, Iran
4 Full Professor, Department of Health care services Management, Science and Research Branch, Islamic Azad University, Tehran, Iran
10.30495/jik.2024.73492.4295
Abstract
Background: Investing in investment funds is the choice of a part of investors who seek to use the expertise of this financial institution and gain returns from their expertise.
Objectives and methods: using the combined three-factor model of Fama, , and Trino-Mazoi in terms of market positioning skills and picking papers in the form of a soft transfer regression panel model in the period from 2016 to 2019 by software MATLAB examines the skills of investment fund managers in Iran's capital market in the face of changes in the effect of three economic variables on fund returns.
Findings: macro variables with a transfer function and a threshold have caused a non-linear relationship with the returns of funds and a two-regime model that in the first regime all three variables had a positive effect on the returns of funds and were associated with managers' skills, but in the regime Second, the two variables of exchange rate and inflation have a negative effect on the returns of the funds, and the positioning skills of managers have not been observed in this regime.
Result: Considering the influence of investment funds' performance on the managers' skills, especially in the appropriate reaction to the change in the behavior of the variables affecting the capital market, it is possible to know the investors in choosing the funds by calculating these indicators and publishing them in periodical reports. Their performance is due to the skill of managers.
Keywords: mutual investment funds, picking and timing, smooth transition regression
Keywords
mutual investment funds
picking and timing
panel smooth transition regression
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