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#carhart_four-factor_model

Carhart four-factor model

Model for stock portfolio management

In portfolio management, the Carhart four-factor model is an extra factor addition in the Fama–French three-factor model, proposed by Mark Carhart. The Fama-French model, developed in the 1990, argued most stock market returns are explained by three factors: risk, price and company size. Carhart added a momentum factor for asset pricing of stocks. The Four Factor Model is also known in the industry as the Monthly Momentum Factor (MOM). Momentum is the speed or velocity of price changes in a stock, security, or tradable instrument.

Mon 20th

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Carhart four-factor model Fama–French three-factor model Capital asset pricing model Factor investing Multiple factor models Asset pricing Socially responsible investing Outline of finance Momentum investing Arbitrage pricing theory
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