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]

ÖNDE┼× 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