The validity of Carhart model for shares in financial, banking and insurance businesses – A quantile regression approach
PDF (Vietnamese)


quantile regression
OLS regression hồi quy phân vị
hồi quy OLS

How to Cite

Phạm LM, Phan TTT. The validity of Carhart model for shares in financial, banking and insurance businesses – A quantile regression approach. hueuni-jns [Internet]. 2021Sep.30 [cited 2021Oct.23];130(1C):149-60. Available from:


Quantile regression is a very powerful tool for financial research and risk analysis when a market encounters shocks. In this paper, we use the quantile regression method to assess the parameters of the Carhart model for four factors: market return, equity size, value size, and momentum and test the validity of this model for shares in the financial, banking and insurance businesses when shocking news appears in the financial market. The results show that when the financial market is unstable, the firm capitalization (size), the book-to-market ratio, and the momentum affect the stock returns.
PDF (Vietnamese)


  1. Fama EF, French KR. The Cross-Section of Expected Stock Returns. The Journal of Finance. 1992;47(2):427-465. DOI:
  2. Jegadeesh N, Titman S. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance. 1993;48(1):65-91. DOI:
  3. Jegadeesh N, Titman S. Profitability of momentum strategies: an evaluation of alternative explanations. The Journal of Finance. 2001;56(2):699-720.
  4. Carhart, M M. On persistance in mutual fund performance, The Journal of Finance. 1997 03;52(1):57-82. DOI:
  5. Lee CMC, Swaminathan B. Price momentum and trading volume. The Journal of Finance. 2000;55(5):2017-2069. DOI :
  6. L’Her J, Masmoudi T, Suret J. Evidence to support the four-factor pricing model from the Canadian stock market. Journal of International Financial Markets, Institutions and Money. 2004;14(4):313-328. DOI :
  7. Daniel K, Grinblatt M, Titman S, Wermers R. Measuring mutual fund performance with characteristics-based benchmarks. The Journal of Finance. 1997;52(3):1035-1058. DOI :
  8. Bello ZY. A statistical comparison of the CAPM to the Fama-French three-factor model and the Carharts´s model. Global Journal of Finance and Banking Issues. 2008;2(2)
  9. Rouwenhorst, K.G. International momentum strategies. The Journal of Finance. 1998;53(1):267-284. DOI:
  10. Czapkiewicz A, Wójtowicz T. The four - factor asset pricing model on the Polish stock market. Economic Research - Ekonomska Istrazivanja. 2014;27:1,771-783. DOI:
  11. Wong KA, Lye MS. Market values, earnings’ yields and stock returns: evidence from Singapore. Journal of Banking & Finance. 1990 08;14(2-3):311-326. DOI:
  12. Lau ST, Lee CT, McInish TH. Stock returns and beta, firm size, E/P, CF/P, book-to-market, and sales growth: evidence from Singapore and Malaysia. Journal of Multinational Financial Management. 2002 07;12(3):207-222. DOI:
  13. Lam KSK, Li FK, So SMS. On the validity of the augmented Fama and French’s (1993) model: Evidence from the HongKong stock market. Review of Quantitative Finance and Accounting. 2009;35(1):89-111. DOI:
  14. Mukherji S, Dhatt MS, Kim YH. A fundamental analysis of Korean stock returns. Financial Analysts Journal. 1997;53(3):75-80. DOI:
  15. Nguyen TH. Momentum effect in the Vietnamese stock market. Procedia Economics and Finance. 2012;2:179-190. DOI:
  16. Vo XV, Truong QB. Does momentum work? Evidence from Vietnam stock market. Journal of Behavioral and Experimental Finance. 2018;17:10-15. DOI:
  17. Huyền NTT, Định LT. Tác động của nhân tố động lượng đến lợi suất đầu tư trên thị trường chứng khoán. Tạp chí Tài chính. 2020.
  18. Koenker R, Bassett G. Regression Quantiles. Econometrica. 1978;46(1):33. DOI:
  19. Allen D, Singh A, Powell R. Asset Pricing, the Fama-French Factor Model and the Implications of Quantile Regression Analysis. ECU Publications. 2009.
  20. Allen D, Singh A. Minimizing Loss at Times of Financial Crisis: Quantile Regression as a Tool for Portfolio Investment Decisions. 2009.
  21. Engle R, Manganelli S. CAViaR: Conditional Value at Risk by Quantile Regression. National Bureau of Economic Research; 1999. DOI:
  22. Eide E, Showalter MH. The effect of school quality on student performance: A quantile regression approach. Economics Letters. 1998;58(3):345-350. DOI:
  23. Buchinsky M, Leslie P. Educational attainment and the changing U.S. wage structure: Some dynamic implications [lecture notes on Internet]. Los Angeles: University of California, Department of Economics; 2017. Available from:
Creative Commons License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Copyright (c) 2021 Array