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Relevant bibliographies by topics / Carhart's four-factor model

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Academic literature on the topic 'Carhart's four-factor model'

Author: Grafiati

Published: 4 June 2021

Last updated: 6 February 2022

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Journal articles on the topic "Carhart's four-factor model"

1

Mohanty, Sunil K., and Mohan Nandha. "Oil Shocks and Equity Returns: An Empirical Analysis of the US Transportation Sector." Review of Pacific Basin Financial Markets and Policies 14, no. 01 (2011): 101–28. http://dx.doi.org/10.1142/s0219091511002159.

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The main purpose of this paper is to investigate the relation between oil price movements and stock returns in US transportation companies. We estimate oil price risk exposures of the US oil transport sector at the firm level as well as at the industry level over November 1999 to February 2008 period using the Fama–French–Carhart's (1997) four-factor asset pricing model augmented with oil price and interest rate factors. Overall, the results of our study suggest that oil price exposures of firms in the US transportation sector vary across firms and over time. The varying effects of oil shocks

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2

Sehgal, Sanjay, and Sonal Babbar. "Evaluating alternative performance benchmarks for Indian mutual fund industry." Journal of Advances in Management Research 14, no. 2 (2017): 222–50. http://dx.doi.org/10.1108/jamr-04-2016-0028.

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Purpose The purpose of this paper is to perform a relative assessment of performance benchmarks based on alternative asset pricing models to evaluate performance of mutual funds and suggest the best approach in Indian context. Design/methodology/approach Sample of 237 open-ended Indian equity (growth) schemes from April 2003 to March 2013 is used. Both unconditional and conditional versions of eight performance models are employed, namely, Jensen (1968) measure, three-moment asset pricing model, four-moment asset pricing model, Fama and French (1993) three-factor model, Carhart (1997) four-fac

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3

Khan, Muhammad Saifuddin, and Md Miad Uddin Fahim. "THE FOUR-FACTOR MODEL AND STOCK RETURNS IN BANGLADESH." International Journal of Accounting & Finance Review 6, no. 2 (2021): 133–49. http://dx.doi.org/10.46281/ijafr.v6i2.1122.

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For determining the expected return, and asset pricing, CAPM (Capital asset pricing model) is being used dominantly grounded on only the market (systematic) risk-factor though several anomalies have been revealed in this model. Fama and French (1993) have addressed those anomalies and developed the Three-factor model by combining size and value factors besides market factors. Over time, Carhart (1997) has further developed a model addressing momentum factor besides the three factors of Fama and French (1993) which is known as the Carhart four-factor model. Though several kinds of research have

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4

Boamah, Nicholas Addai. "Robustness of the Carhart four-factor and the Fama-French three-factor models on the South African stock market." Review of Accounting and Finance 14, no. 4 (2015): 413–30. http://dx.doi.org/10.1108/raf-01-2015-0009.

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Purpose – The purpose of this study is to explore the applicability of the Fama–French and Carhart models on the South African stock market (SASM). It examines the ability of the models to capture size, book-to-market (BM) and momentum effects on the SASM. The paper, additionally, explores the ability of the Fama–French–Carhart factors to predict the future growth of the South African economy. Design/methodology/approach – The paper relies on data of 848 firms from January 1996 to April 2012 to examine the size, BM and momentum effects on the SASM. The paper constructs the test assets from a 3

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5

Kiymaz, Halil. "Factors influencing SRI fund performance." Journal of Capital Markets Studies 3, no. 1 (2019): 68–81. http://dx.doi.org/10.1108/jcms-04-2019-0016.

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Purpose The purpose of this paper is to examine socially responsible investment (SRI) fund performance and investigate the factors influencing fund performance. Design/methodology/approach The study uses return data from the Morningstar database for 152 SRI funds from January 1995 to May 2015. The initial analysis includes the use of various risk-adjusted performance measures, including Sharpe ratio, Treynor ratio, Information ratio, Sortino ratio and M2. The study also uses four factor models, including Jensen single-factor model, Fama–French three-factor model, Carhart four-factor model and

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6

Pandey, Asheesh, Sanjay Sehgal, Amiya Kumar Mohapatra, and Pradeepta Kumar Samanta. "Equity market anomalies in major European economies." Investment Management and Financial Innovations 18, no. 2 (2021): 245–60. http://dx.doi.org/10.21511/imfi.18(2).2021.20.

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This paper investigates five leading equity market anomalies – size, value, momentum, profitability, and asset growth, for four Western European markets, namely, Germany, France, Italy and Spain, from January 2002 to March 2018. The study tests whether these anomalies reverse under different macro-economic uncertainty conditions, and evaluates if strategies based on time diversification can be formed using these equity market anomalies. Market anomalies were tested using four major asset pricing models – the Capital Asset Pricing Model, the Fama-French three-factor model, the Carhart model, an

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7

Hassan, Abul, Abdelkader Chachi, and Mahfuzur Rahman Munshi. "Performance measurement of Islamic mutual funds using DEA method." Journal of Islamic Accounting and Business Research 11, no. 8 (2020): 1481–96. http://dx.doi.org/10.1108/jiabr-04-2018-0053.

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Purpose The purpose of this study is to update the investment literature by providing latest evidence of performance of Islamic mutual funds by using global sample mutual funds data to support with empirical facts. Design/methodology/approach This study analyzes the comparative performance of Islamic and conventional mutual funds by using capital asset pricing model, Fama & French’s three-factor model and Carhart’s four-factor model. Further, the study tested the coskenwness effect by using data envelopment analysis approach. Findings The authors find evidence that when size of the funds i

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8

Candika, Yossy Imam. "TESTING THE EFFECTIVENESS OF THE CARHART MODEL FOUR FACTORS ON EXCESS RETURNS IN INDONESIA." TIJAB (The International Journal of Applied Business) 1, no. 1 (2019): 60. http://dx.doi.org/10.20473/tijab.v1.i1.2017.60-74.

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One crucial information for investor in making their investment decision is to estimate asset-pricing level. The basic principle would be high risk, high return. This research is using Carhart model (1997): market return, size, book to market, and momentum. The goal of this research is to test and analyze the influence of Carhart Four Factor Model toward Indonesian stock' excess return. Dependent variable used in this research is stock' excess return, while independent variable used are Carhart four factor model. Population used is all non-financial firms listed in Bursa Efek Indonesia from ye

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9

Mahmud, Delvira. "Testing the Four Factors of the Carhart Model Against Excess Return of Shares in Companies Registered in the Kompas 100 Index for the 2014-2016 Period." Jambura Science of Management 1, no. 1 (2019): 16–20. http://dx.doi.org/10.37479/jsm.v1i1.1983.

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The researcher intends to test the four carhart factor model of stock excess return in companies incorporated in Kompas 100 for the 2014-2016 period. Regression analysis was performed on four carhart factor models, namely market returns, firm size, book to market, and momentum towards excess return. The results of this study indicate that in the partial hypothesis testing market return, firm size, and book to market equty variables significantly influence the excess return, while the momentum variable does not significantly influence the magnitude of excess return.Keywords: Four factors, marke

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10

Costa, Bruce A., Keith Jakob, Scott J. Niblock, and Elisabeth Sinnewe. "Australian Stock Indexes and the Four-Factor Model." Applied Finance Letters 3, no. 1 (2014): 10. http://dx.doi.org/10.24135/afl.v3i1.17.

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Stock indexes are passive ‘value-weighted’ portfolios and should not have alphas which are significantly different from zero. If an index produces an insignificant alpha, then significant alphas for equity funds using this index can be attributed solely to manager performance. However, recent literature suggests that US stock indexes can demonstrate significant alphas, which ultimately raise questions regarding equity fund manager performance in both the US and abroad. In this paper, we employ the Carhart four-factor model and newly available Asian-Pacific risk factors to generate alphas and r

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