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

Rath, Subhrendu; Durand, Robert

doi:10.1016/j.econlet.2015.05.003

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Authors

Rath, Subhrendu

Durand, Robert

Date

2015

Type

Journal Article

Metadata

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Citation

Rath, S. and Durand, R. 2015. Decomposing the size, value and momentum premia of the Fama–French–Carhart four-factor model. Economics Letters. 132: pp. 139-141.

Source Title

Economics Letters

DOI

10.1016/j.econlet.2015.05.003

ISSN

0165-1765

School

School of Economics and Finance

URI

http://hdl.handle.net/20.500.11937/33629

Collection

Curtin Research Publications

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.