Factor Models

Basic Models

  • Capital Asset Pricing Model (CAPM) [Sharpe (1964)]

  • 3-Factor Model [Fama and French (1993)]

  • 4-Factor Model [Carhart (1997)]

  • 4-Factor Model [Pastor and Stambaugh (2003)]

  • 3-Factor Model [Asness and Frazzini (2013)]

  • q-Factor Model [Hou et al. (2015)]

  • 5-Factor Model [Fama and French (2015)]

  • 4-Factor Model [Fama and French (2015)]

  • 4-Factor Model [Stambaugh and Yuan (2016)]

  • 6-Factor Model [Barillas and Shanken (2018)]