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Persistent link: https://www.econbiz.de/10003938859
Standard Fama-French and Carhart models produce economically and statistically significant nonzero alphas, even for passive benchmark indices such as the S&P 500 and Russell 2000. We find that these alphas arise primarily from the disproportionate weight the Fama-French factors place on small...
Persistent link: https://www.econbiz.de/10013106957
Persistent link: https://www.econbiz.de/10009539740
Standard Fama-French and Carhart models produce economically and statistically significant nonzero alphas, even for passive benchmark indices such as the S&P 500 and Russell 2000. We find that these alphas arise primarily from the disproportionate weight the Fama-French factors place on small...
Persistent link: https://www.econbiz.de/10012460609