Abstract:
The aim of this study is to evaluate the effect of information delay on the
performance of joint investment funds. In order to achieve the aim of this study
sample consisted of twenty funds in the Tehran Stock Exchange from 2010 to
2014 the systematic elimination method has been adopted. In this study, the linear
regression test has been used in order to evaluate the research hypothesis. Data
analysis and research hypothesis testing has been done using EVIEWS software.
Findings of the research prove the effect of information delay on the performance
of joint investment funds.
Machine summary:
Variables Stationary Test In Table 3, The significance level for performance variables at unit root for all joint investment funds except for Jensen’s index, information delay and stock turnover ratio are smaller than 0.
Table 3: Stationary of variables has been tested using Fisher’s ADF test and results are provided (View the image of this page) Performance variables of joint investment funds based on Jensen index, information delay and stock turnover ratio become stationary by differencing.
Table 5: The summary of results of the first sub-hypothesis (View the image of this page) Coefficient of information delay variable on the performance of the joint investment fund based on Sharp index is -0.
Table 6: The summary of results of the second sub-hypothesis (View the image of this page) In Table 6, probability of t-statistic for coefficients of information delay, fund asset, fund lifespan and stock turnover ratio variables on the performance of joint investment fund based on Trainer index is greater than o.
Table 7: The summary of results of the third sub-hypothesis (View the image of this page) In Table 7, probability of t-statistic for coefficients of information delay and fund asset variables on the performance of joint investment fund based on Jensen index is smaller than o.
According to results of the second sub-hypothesis, information delay does not affect the performance of joint investment funds based on Trainer index.
According to results of the third sub-hypothesis, based on Jensen index, information delay affects the performance of joint investment funds.