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

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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.

Bibliographic Details
Main Authors:	Rath, Subhrendu, Durand, Robert
Format:	Journal Article
Published:	Elsevier 2015
Subjects:	Fama–French–Carhart model Leverage Asset-pricing
Online Access:	http://hdl.handle.net/20.500.11937/33629

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