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Journal Articles

Robustness of the Carhart four-factor and the Fama-French three-factor models on the South African stock market

Nicholas Addai Boamah
Journal: Review of Accounting and Finance
Review of Accounting and Finance (2015) 14 (4): 413–430.
https://doi.org/10.1108/RAF-01-2015-0009
Published: 09 November 2015
... from the small-firm group. Additionally, the models only partially capture the size and value effects on the SASM. The Carhart model partly captures the momentum effects, but the Fama–French model is unable to describe the returns to the momentum-sorted portfolios. The evidence shows that the models...
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