Investment performance attribution of the U.S. small-size value mutual funds using Fama-French five-factor model

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...

The Performance of CSR Mutual Funds and Investment Decision-Making

Nowaday, Corporate Socially Responsible (CSR) mutual funds are becoming a popular investment option for investors. However, no any research confirms whether CSR Mutual fund activity is better than market index or not. Besides, we should have one method can help con sequently investors in making the decision to select appropriate investment funds. In this study, we measure the financial performa...

Tests Of The Fama And French Three Factor Model In Iran

A Review of Mutual Investment Funds Performance with a View of Market Timing

Appropriate function of active management in common investment funds function depend on factors such as diversification, identification papers unrealistic pricing, market timing, and so on. Market timing are include changing the portfolio investment funds and market indices such as short-term bonds and make an asset depends on whether the market is expected in the whole of the assets to make be...

Examination of the Predictive Power of Fama-French Five-Factor Model by the Inclusion of Skewness Coefficient: Evidence of Iranian Stock Market

Due to the complexity of financial markets and specialization of investment, the investors in financial markets need tools, methods and models by which they can choose the best investment and the most appropriate portfolios. Fama-French Five-Factor Model (FFFFM) is one of the newest methods among various methods for financial asset pricing and prediction of stock returns. The main aim of this r...