如题

问题如下：

Question Momentum, defined as relative past stock returns, is most likely a factor in:

选项：

A.fundamental factor models. B.the Carhart four-factor model. C.the Fama–French three-factor model.

解释：

Solution

1. Incorrect because fundamental factor models analyze and use relationships between security returns and the company’s underlying fundamentals, such as, for example, earnings, earnings growth, cash flow generation, investment in research, advertising, and number of patents.

2. Correct because Mark Carhart (1997) extended the Fama and French model by adding another factor: momentum, defined as relative past stock returns. The best example of ... a [practical] model is the four-factor model proposed by Fama and French (1992) and Carhart (1997).

3. Incorrect because Fama and French (1992) proposed that three factors seem to explain asset returns better than just systematic risk. Those three factors are relative size, relative book-to-market value, and beta of the asset. Mark Carhart (1997) extended the Fama and French model by adding another factor: momentum, defined as relative past stock returns.

Portfolio Risk and Return: Part II

•