For details on the calculation of the factors, please refer to the following links:
- Momentum factor: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_mom_factor.htmlF
- Five-factor model: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/f-f_5_factors_2x3.html
For papers introducing the four- and five-factor models, please refer to the following links:
- Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82: https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1540-6261.1997.tb03808.x.
- Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of financial economics, 116(1), 1-22: https://tevgeniou.github.io/EquityRiskFactors/bibliography/FiveFactor.pdf.