Let's see: market beta, value-growth, smallcap-largecap, momentum...

[bchadwick]

Let's see: market beta, value-growth, smallcap-largecap, momentum...

Are there any more paid risk premia in the US equities universe? Hard to believe that's all there is....



Edited 1 time(s). Last edit at Tuesday, October 16, 2007 at 01:32PM by bchadwick.

 

[The.Unit.Root]

Depends on who's model you're looking at and what you believe risk is. Looks like you're looking at the Carhart Model there, which adds momentum to Fama/French's 3-factor model. Other models identify more or other factors/risk premiums.



Edited 1 time(s). Last edit at Tuesday, October 16, 2007 at 02:11PM by The.Unit.Root.