| Author (Year) | Research Purpose | Model | Estimation Method | Computer Algorithm | Data | |||||
| Country | Variables | Frequency & Period | ||||||||
| Panel A: Empirical Applications of Carhart 4-factor Model | ||||||||||
| Otten et al. (2002) Gallagher et al. (2006) [13] Trimech et al. (2009) [14] ÖNDEŞ et al. (2010) [15] Behr et al. (2011) [16] Guan (2011) Lopez (2014) | Empirical Tests Empirical Analysis Empirical Tests Model Comparsion Empirical Analysis Empirical Tests Model Comparsion | C C C FF, C C C CAPM, FF, C | OLS Regression Wavelet Analysis FIML - - TSR,CSR | - - - - - Eviews - | Europe Australia France Turkey US China Netherlands | Mkt, SMB, HML, WML Mkt, SMB, HML, WML Mkt, SMB, HML, WML Mkt, SMB, HML, WML Mkt, SMB, HML, WML Mkt, SMB, HML, WML Mkt, SMB, HML, WML | M1991:1-1998:12 M1994:1:2-2001:12:31 M1985:11-2006:10 M1996:7-2009:12 M1963:7-2008:12 M2008:7-2010:12 M2004:1-2014:1 | |||
| Panel B: Extensions for Carhart 4-factor Model | ||||||||||
| Fama et al. (2012) Connor (2012) Chai et al. (2013) Garyn-Tal et al. (2015) Bradrania (2015) Mu(2015) [17] | Model Comparsion Model Extension Model Extension Model Comparsion Model Extension Model Extension | Local and Global C FF, C, C with volatility C with Iliquidity Local and Hybrid C C with Iliquidity and IV C-SSAEPD-EGARCH | Regression Kernel OLS Regression TSR MLE | - - - - - Matlab | Four Regions US Australia Israel US US | Mkt, SMB, HML, WML Mkt, SMB, HML, WML, VOL Mkt, SMB, HML, WML, IML Mkt, SMB, HML, WML Mkt, SMB, HML, WML, IML Mkt, SMB, HML, WML | M1990:11-2011:3 M1970-2007 M1982:1-2010:12 M2002:6-2013:7 D1958:1:1-2008:12:31 M1927:1-2014:12 | |||