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has been cited by the following article:

• TITLE: Analysis of the Sector of Software & Computer Services with a New Carhart 4-Factor Model

  AUTHORS: Liuling Li, Qingyu Zhu, Yang Mu

  KEYWORDS: Carhart (1997) 4-Factor (C), Standardized Standard Asymmetric Exponential Power Distribution (SSAEPD), EGARCH

  JOURNAL NAME: Journal of Mathematical Finance, Vol.7 No.1, January 20, 2017

  ABSTRACT: 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.