Constructing and Testing Alternative Versions of the Fama – French and Carhart Models in the UK

@inproceedings{Gregory2013ConstructingAT,
  title={Constructing and Testing Alternative Versions of the Fama – French and Carhart Models in the UK},
  author={Alan Gregory and RAJESH THARYAN and ANGELA CHRISTIDIS},
  year={2013}
}
  • Alan Gregory, RAJESH THARYAN, ANGELA CHRISTIDIS
  • Published 2013
This paper constructs and tests alternative versions of the Fama–French and Carhart models for the UK market with the purpose of providing guidance for researchers interested in asset pricing and event studies. We conduct a comprehensive analysis of such models, forming risk factors using approaches advanced in the recent literature including value-weighted factor components and various decompositions of the risk factors. We also test whether such factor models can at least explain the returns… CONTINUE READING