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

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  • Rath, Subhrendu
  • Durand, Robert B.

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.

Suggested Citation

  • Rath, Subhrendu & Durand, Robert B., 2015. "Decomposing the size, value and momentum premia of the Fama–French–Carhart four-factor model," Economics Letters, Elsevier, vol. 132(C), pages 139-141.
    • Handle: RePEc:eee:ecolet:v:132:y:2015:i:c:p:139-141
    DOI: 10.1016/j.econlet.2015.05.003
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    4. Gyimah, Daniel & Machokoto, Michael & Sikochi, Anywhere (Siko), 2020. "Peer influence on trade credit," Journal of Corporate Finance, Elsevier, vol. 64(C).

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    More about this item

    Keywords

    Fama–French–Carhart model; Leverage; Asset-pricing;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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