Do Multiple Factors Help or Hurt?

23 Pages Posted: 25 Aug 2004

See all articles by Thierry Post

Thierry Post

Graduate School of Business of Nazarbayev University

Pim van Vliet

Robeco Quantitative Investments

Date Written: August 2004


This study compares the single-factor CAPM with the Fama and French three-factor model and the Carhart four-factor model using a broad cross-section and long time-series of US stock portfolios and controlling for market capitalization. Confirming known results, multiple factors help for value and momentum portfolios in the post-1963 period, most notably for the small cap market segment. However, multiple factors generally do not help or even hurt (1) in the pre-1963 period, (2) for size, beta, reversal, and industry portfolios and (3) within the large cap market segment. These empirical findings support the data snooping hypothesis or other non-risk based explanations such as high transaction costs and low market liquidity for small caps.

Keywords: Fama-French factors, Carhart factor, SMB, HML, WML, efficiency tests

JEL Classification: G10, G12

Suggested Citation

Post, Thierry and van Vliet, Pim, Do Multiple Factors Help or Hurt? (August 2004). Available at SSRN: or

Thierry Post

Graduate School of Business of Nazarbayev University ( email )

53 Kabanbay Batyra Avenue
Astana, 010000

Pim Van Vliet (Contact Author)

Robeco Quantitative Investments ( email )

Rotterdam, 3011 AG

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