On the robustness of the Fama-French three-factor and the Carhart four-factor models on the Amman Stock Exchange

This study aims to explore the robustness of applicability Fama-French and Carhart asset pricing models on Amman Stock Exchange (ASE) equity market. It uses data all companies listed traded in ASE, over period 2002 2018. The time-series regression approach Black et al. (1972). To estimate models, applies ordinary least squares (OLS) method. found that fail capture cross-section average returns portfolios sorted size/book-to-market as well size/momentum. ability model describing is similar model; however, better describes size/momentum portfolios. Unlike Al-Mwalla's (2012) conclusion, this suggests using practical applications require estimation ASE market returns.