Analysis of the Sector of Software & Computer Services with a New Carhart 4-Factor ModelReport as inadecuate




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In this paper, we analyze the sector of Software and Computer Services with a new Carhart four-factor model. The US is the leading world market for this sector and this sector is a source of significant economic opportunity in US. We compare this sector in US, UK and China to find out whether the US phenome-non has been replicated by other industrialized countries. LR, KS and AIC are used for testing parameter restrictions, residual check and model comparison, respectively. MLE is used to estimate parameters via Matlab. Empirical results show the Carhart 4 factors are still alive! The new 4-factor model fits the data well and has better in-sample fit than that of Carhart 1997 1 and Fama-French 1993 2. This sector in these 3 countries can not earn statisti-cally significant extra Alpha returns. And the Beta value in this sector of US is close to the market.

KEYWORDS

Carhart 1997 4-Factor C, Standardized Standard Asymmetric Exponential Power Distribution SSAEPD, EGARCH

Cite this paper

Li, L. , Zhu, Q. and Mu, Y. 2017 Analysis of the Sector of Software & Computer Services with a New Carhart 4-Factor Model. Journal of Mathematical Finance, 7, 65-82. doi: 10.4236-jmf.2017.71004.





Author: Liuling Li1, Qingyu Zhu2*, Yang Mu1

Source: http://www.scirp.org/



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