Ethan Wuang

Regime Dependence of the Size Premium: Identification Versus Ex-Ante Forecastability in the Carhart Four-Factor Model

Among the four factors of the Carhart four-factor model, which premium is regime-dependent — and can that dependence be exploited in real time? A factor-attribution methodology isolates each factor’s regime contribution across 18 size-sorted portfolios and three evaluation windows (January 1927–November 2025). As a reg...