Decomposing the size, value and momentum premia of the Fama–French–Carhart four-factor model

Subhrendu Rath and Robert B. Durand

Economics Letters, 2015, vol. 132, issue C, 139-141

Abstract: The size, value and momentum premia in the Fama–French–Carhart four-factor model may be decomposed in terms of observable firm characteristics including leverage.

Keywords: Fama–French–Carhart model; Leverage; Asset-pricing (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:132:y:2015:i:c:p:139-141

DOI: 10.1016/j.econlet.2015.05.003

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