Evaluating and Prioritizing Static and Dynamic Pricing Models Using Cash Flows in Mutual Funds

The purpose of this study is to present a method for evaluating and prioritizing static and dynamic pricing models based on cash inflows and outflows in mutual funds. The present study uses quantitative variables (cash inflows and outflows in mutual funds) from the models examined in this study in two groups of static pricing models (Capital Asset Pricing Model, Fama and French Three-Factor Model, Carhart Four-Factor Model) and dynamic pricing models (consumption-based capital asset pricing model, habit formation model, long run risk model), have identified a model that is used by investors to make more capital allocation decisions. This study uses the data of mutual funds in the capital market of Iran during the period 2013 to 2019, and with the implementation of ordinary least squares regression (OLS) this method has been presented. Based on the results of the research, among the pricing models investigated, the capital asset pricing model (CAPM) is ranked first and the long run risk model (LRR) is ranked last.