A Comparative Study of the Fama-French Three Factor and the Carhart Four Factor Models: Empirical Evidence from Morocco

A Comparative Study of the Fama-French Three Factor and the Carhart Four Factor Models: Empirical Evidence from Morocco

This paper investigates the validity of the Fama-French Three Factor (FF3F) and the Carhart Four Factor (C4F) models in Morocco. Monthly returns of Casablanca Stock Exchange-listed companies are extracted from Reuters DATASTREAM over a 5 years’ period (2013-2017). Market, size, value and momentum ef...

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Bibliographic Details
Main Authors: Omar Tazi, Samir Aguenaou, Jawad Abrache
Format: Article
Language:English
Published: EconJournals 2022-01-01
Series:International Journal of Economics and Financial Issues
Subjects:
Capital Asset Pricing Model
Fama-French Three Factor Model
Carhart Four Factor Model
Casablanca Stock Exchange
Online Access:https://econjournals.com/index.php/ijefi/article/view/12685

Internet

https://econjournals.com/index.php/ijefi/article/view/12685

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