10.4225/03/58b4a4a61ccb5 Castaneda Vidal, Marcelo Alexis Marcelo Alexis Castaneda Vidal An exploration of the value and momentum interaction Monash University 2017 Carhart four-factor model monash:130764 thesis(masters) 1959.1/982181 Value and momentum interactions Restricted access ethesis-20141006-144411 2013 2017-02-27 22:13:56 Thesis https://bridges.monash.edu/articles/thesis/An_exploration_of_the_value_and_momentum_interaction/4700386 This thesis explores the interaction between value and momentum from both a linear and nonlinear perspective. A statistical approach was proposed in order to capture either the linearity and nonlinearity interaction between value and momentum in the Carhart four - factor model. This was achieved by using generalised additive models and adjusting the slopes of HML and WML by their marginal effects. It was found that value (HML) and momentum (WML) strategies interact, extending upon the work of Asness (1997) and confirming the rationale proposed by Kenneth French (2003) on value and momentum interactions. Yet, evidence was found suggesting that the noninear value and momentum interaction appears to be strongest amongst small market capitalisation stocks.