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portfolio-sorting

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mikhina / Asset-Pricing-Anomalies

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This project analyses the effect of one-year momentum factor on stock returns by computing CAPM, the Fama-French 3-factor model, and a 4-factor model accounting for momentum. The persistence of the momentum effect through the cross-sectional Fama/MacBeth regression is tested to assess whether this factor can explain test asset returns.

momentum r-programming asset-pricing capm risk-factors time-series-regression fama-french-3-factor portfolio-sorting carhart-four-factor-model fama-macbeth-regression equity-returns
  • Updated Feb 7, 2026

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