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

By A. Gregory, R. Tharyan, Angela Christidis. 2011

210 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f7935c46a2347833264899072ec8c0716f7bc65f

Citations in the corpus

• Does it pay to be ethical? Evidence from the FTSE4Good (2014, unknown): “The four factors for UK were obtained from Gregory et al. (2013). beta for index i; bi,size = size factor beta for index i; bi,mom = beta for the momentum factor; ei,t = random error term at time t.”
• A Network Approach to Portfolio Selection (2016, unknown): “Finally, the risk-free rates required to compute excess returns for the US and UK markets are gathered from Kenneth French's website and from Gregory et al. (2013), respectively.”
• Pairs trading in the UK equity market: risk and return (2016, unknown): “Following Fama and French (1993), Carhart (1997) and Gregory et al. (2013) we do not specify orthogonal factors.”