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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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    11. Johnson, T.C. & Chebonenko, T. & Cunha, I. & D'Almeida, F. & Spencer, X., 2011. "Endogenous leverage and expected stock returns," Finance Research Letters, Elsevier, vol. 8(3), pages 132-145, September.
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    Cited by:

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    2. Gyimah, Daniel & Machokoto, Michael & Sikochi, Anywhere (Siko), 2020. "Peer influence on trade credit," Journal of Corporate Finance, Elsevier, vol. 64(C).
    3. Canh P. Nguyen & Christophe Schinckus & Thanh D. Su & Felicia H. L. Chong, 2022. "Determinants of stock market returns in emerging markets: The linkage between institutional quality and macro liquidity," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4472-4486, October.
    4. Muhammad Surajo Sanusi, 2017. "Investigating the sources of Black’s leverage effect in oil and gas stocks," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1318812-131, January.

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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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