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I am analysing the four commonly used asset pricing models (CAPM, F3F, C4F, F5F) to determine which one is most effective.I have performed time series regressions on the 25 value weighted portfolios sorted on size and book to market equity. the coefficients for the market risk premium, smb and hml,umd,rmw, cma are examined and compared. From the regression results, the carhart four factor model seems to the most efective one (R2, coefficient, χ2 test are better than the rest of the models). Im not sure if my results is in line with literatures.

Are there any literature with regards to a comparision of the performance of the four asset pricing in US?

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You can read Capocci and Hubner (2004) for a comparison of these models on hedge fund performance.

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