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What is CAPM and Four Factor Model Analysis about?

1) The document analyzes the capital asset pricing model (CAPM) and several factor models, including the Fama-French three factor model and a proposed four factor model including momentum. 2) Regression analysis of the four factor model shows that all factors - market risk, size, value, and momentum - significantly influence oil returns at a 5% level. However, size and value factors have similar effects. 3) Diagnostic tests indicate the model fits reasonably well but leaves about half the variation in o

Author

Beibei Wang

Language

EN