Carhart Four-Factor Model

Implements the Carhart (1997) four-factor model, which extends the Fama-French three-factor model with a momentum factor: $$R_i - R_f = \alpha + \beta_m (R_m - R_f) + \beta_s SMB + \beta_h HML + \beta_{mom} MOM + \epsilon$$

Requires columns: excess_return, market_excess, smb, hml, mom.

Super classes

ModelBase -> LinearFactorModel -> Carhart4FactorModel

Public fields

model_name

Name of the model.

formula

The four-factor regression formula.

required_columns

Required data columns.

Methods

Public methods

• Carhart4FactorModel$new()

• Carhart4FactorModel$abnormal_returns()

• Carhart4FactorModel$clone()

Inherited methods

• LinearFactorModel$fit()

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Carhart4FactorModel$new()

Create a new Carhart4FactorModel.

Usage

Carhart4FactorModel$new(use_hac = FALSE, hac_lag = NULL)

Arguments

use_hac

Logical. Use HAC (Newey-West) standard errors.

hac_lag

Integer or NULL. Lag truncation for Newey-West.

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Carhart4FactorModel$abnormal_returns()

Calculate abnormal returns using the four-factor model.

Usage

Carhart4FactorModel$abnormal_returns(data_tbl)

Arguments

data_tbl

Data frame or tibble.

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Carhart4FactorModel$clone()

The objects of this class are cloneable with this method.

Usage

Carhart4FactorModel$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.