medium · FRM Part 1 Foundations of Risk Management
In the Carhart four-factor model, a momentum factor (WML) is added to the market, size, and value factors.
If a stock has a WML beta of 0.30 and the momentum premium is 4.0%, how much additional return does the model attribute to the momentum effect compared to the Fama-French three-factor model?
- 4.30%
- 0.70%
- 1.20%
- 13.33%
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