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...

I thank Karl Diether for research assistance. I thank Malcolm Baker, Gene Fama, Ken French, and Jeff Wurgler for supplying data. I thank Eugene Fama and seminar participants at the London School of Economics, New York University Stern School, and the University of Chicago for helpful comments. I gratefully acknowledge support from the Alfred P. Sloan Foundation, the Center for Research in Secur...

In this work, we apply the fast alternating minimization algorithm (FAMA) to model predictive control (MPC) problems with polytopic and second-order cone constraints. We present a splitting strategy, which speeds up FAMA by reducing each iteration to simple operations. We show that FAMA provides not only good performance for solving MPC problems when compared to other alternating direction meth...

The main objective of this paper is to discuss alternative methods for testing the Fama-French (FF) three-factor asset pricing model. The properties of the selected methods are compared through a simulation study. The main stress is put on the behaviour of the selected methods for small samples. The parameters used in the simulation study are obtained on the basis of real data coming from the P...

There is no way to predict whether the price of stocks and bonds will go up or down over the next few days or weeks. But it is quite possible to foresee the broad course of the prices of these assets over longer time periods, such as, the next three to five years. These findings, which may seem both surprising and contradictory, were made and analyzed by this year’s Laureates, Eugene Fama, Lars...

A commonly used approach in long-run event-studies is the calendar time portfolio (CTP) approach developed by Jaffe (1974) and Mandelker (1974) and advocated by Fama (1998). For each calendar month we compute the return of an equally-weighted portfolio of companies that unionized in the last T months, where T is either 18 or 24 in our study. The return of this “unionization portfolio” is denote...

The CAPM as the benchmark asset pricing model generally performs poorly in both developed and emerging markets. We investigate whether allowing the model parameters to vary improves the performance of the CAPM and the Fama-French model. Conditional asset pricing models scaled by conditional variables such as Trading Volume and Dividend Yield generally result in small pricing errors. However, a ...

In this paper, the fast alternating minimization algorithm (FAMA) is proposed to solve model predictive control (MPC) problems with polytopic and second-order cone constraints. We extend previous theoretical results of FAMA to a more general case, where convex constraints are allowed to be imposed on the strongly convex objective and all convergence properties of FAMA are still preserved. Two s...