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A good argument for not using Carhart's momentum factor is that it's more based on behavioural finance arguments whereas the size and value factor are more rooted in the efficient market hypothesies. I.e, value and smaller companies are fundamentlly riskier than growth and big companies.


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You can conclude nothing: your parameters can be significant, but also not significant. If your data are heteroskedastic, you can use a correction to the standard error, that is Heteroskedasticity and Autocorrelation Consistent (HAC) covariance matrix of Newey and West: this computes standard errors robust to heteroskedasticity and you can conclude with more ...



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