Decomposing the size, value and momentum premia of the Fama–French–Carhart four-factor model
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.
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Elsevier
2015
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/33629 |