Table 1 Regression results from the FF3...

Table 1

Regression results from the FF3 model

Variable	N. obs	Mean	Std. dev	Skew	Kurt	P10	P50	P90
Panel A. Distribution of estimated alpha and betas
α	1,940	−0.008	0.159	−0.427	5.720	−0.172	−0.004	0.151
RM_RF	1,940	1.018	0.283	−0.264	−0.145	0.644	1.031	1.376
SMB	1,940	0.820	0.372	−0.373	0.059	0.310	0.861	1.262
HML	1,940	0.112	0.372	−1.197	3.006	−0.313	0.165	0.515
Adj. $R^{2}$	1,940	0.162	0.081	0.767	1.037	0.065	0.152	0.269
Panel B. Distribution of t-values for alpha and betas
α	1,940	−0.204	7.244	−43.165	1888.450	−1.118	−0.024	1.004
RM_RF	1,940	21.117	9.935	0.827	1.157	9.521	19.846	33.686
SMB	1,940	10.849	5.358	−0.299	0.490	4.177	10.949	17.719
HML	1,940	1.796	4.587	−0.150	1.766	−3.348	1.806	7.372

Variable	N. obs	Mean	Std. dev	Skew	Kurt	P10	P50	P90
Panel A. Distribution of estimated alpha and betas
α	1,940	−0.008	0.159	−0.427	5.720	−0.172	−0.004	0.151
RM_RF	1,940	1.018	0.283	−0.264	−0.145	0.644	1.031	1.376
SMB	1,940	0.820	0.372	−0.373	0.059	0.310	0.861	1.262
HML	1,940	0.112	0.372	−1.197	3.006	−0.313	0.165	0.515
Adj. $R^{2}$	1,940	0.162	0.081	0.767	1.037	0.065	0.152	0.269
Panel B. Distribution of t-values for alpha and betas
α	1,940	−0.204	7.244	−43.165	1888.450	−1.118	−0.024	1.004
RM_RF	1,940	21.117	9.935	0.827	1.157	9.521	19.846	33.686
SMB	1,940	10.849	5.358	−0.299	0.490	4.177	10.949	17.719
HML	1,940	1.796	4.587	−0.150	1.766	−3.348	1.806	7.372

Note(s): This table summarizes the regression results from the FF3 model estimated on the full market sample. Panel A presents the distribution of estimated alphas and factor loadings (betas), while Panel B shows the distribution of their corresponding t-values. The analysis includes 1,940 stocks listed on the KOSPI and KOSDAQ markets in Korea between 2001 and 2022, each with at least three years of trading history. Alpha values are annualized by multiplying daily estimates by 252

Source(s): Author’s own work

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