Factoring Characteristics into Returns: A Clinical Approach to Fama-French Portfolio Decomposition

Expected Returns and Volatility of Fama-French Factors

In this paper, I show that the variance of Fama-French factors, the variance of the momentum factor, as well as the correlation between these factors, predict an important fraction of the timeseries variation in post-1990 aggregate stock market returns. This predictability is particularly strong from one month to one year, and it dominates that afforded by the variance risk premium and other po...

Is Customer Satisfaction Priced or Not ? A Fama - French Portfolio Level Test

Portfolio Diversification and Net Selectivity Performance of Mutual Funds in Iran by Using Fama Decomposition Model

T he main purpose of this paper is to analyze the performance of mutual funds in Iran by using Fama decomposition model (1972). Thus, daily data of 55 mutual funds during a four-year period from 21/3/2014 to 21/3/2018 were investigated. To achieve this goal, firstly, the performance of mutual funds was broken down into Fama components, and it was shown that the diversification perfor...

A Reexamination of Fama-French Regressions Using High Frequency Panels

This paper develops a new framework and tools, and reexamines Fama-French regressions. For Fama-French portfolios, we consider a continuous-time factor model with a specific error component structure implied by the underlying asset pricing theory. The model is then analyzed as a continuous-time multivariate regression with a general martingale differential error, allowing for time-varying and s...

A Fuzzy Approach to Mean-CDaR Portfolio Optimization

This paper develops a bi-objective portfolio selection problem that maximizes returns and minimizes a risk measure called conditional Drawdown (CDD). The drawdown measures include the maximal Drawdown and Average Drawdown as its limiting case. The CDD family of risk functional is similar to conditional value at Risk (CVaR). In this paper, the fuzzy method has been used to solve the bi-objec...