In their groundbreaking paper, “Digesting Anomalies: An Investment Approach,” Kewei Hou, Chen Xue and Lu Zhang proposed a new four-factor asset pricing model that goes a long way toward explaining many of the anomalies neither the Fama-French three-factor nor subsequent four-factor models could explain.
The study, which was published in the March 2015 issue of The Review of Financial Studies, covered the period 1972 through 2012.
The authors called their model the q-factor model. Specifically, their four factors are:
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