Table 2 Summary statistics and...

Table 2

Summary statistics and correlations: FF3 vs. FF3_E1, E3 and E5

Panel A. Summary statistics of realized factor returns ( × 1,000)
Factor	Model	Mean	Std. Dev
RM_RF	FF3	0.243	13.11
	FF3_E1	0.198	13.07
	FF3_E3	0.233	13.13
	FF3_E5	0.256	13.26
SMB	FF3	0.345	8.7
	FF3_E1	0.39	8.4
	FF3_E3	0.333	8.15
	FF3_E5	0.285	7.95
HML	FF3	0.351	7.46
	FF3_E1	0.372	7.38
	FF3_E3	0.408	7.21
	FF3_E5	0.43	6.87

Panel A. Summary statistics of realized factor returns ( × 1,000)
Factor	Model	Mean	Std. Dev
RM_RF	FF3	0.243	13.11
	FF3_E1	0.198	13.07
	FF3_E3	0.233	13.13
	FF3_E5	0.256	13.26
SMB	FF3	0.345	8.7
	FF3_E1	0.39	8.4
	FF3_E3	0.333	8.15
	FF3_E5	0.285	7.95
HML	FF3	0.351	7.46
	FF3_E1	0.372	7.38
	FF3_E3	0.408	7.21
	FF3_E5	0.43	6.87

Panel B. Correlations between FF3 factors and alternative models
Factor	FF3 vs. FF3_E1	FF3 vs. FF3_E3	FF3 vs. FF3_E5
RM_RF	0.982	0.975	0.97
SMB	0.981	0.945	0.927
HML	0.978	0.977	0.904

Panel B. Correlations between FF3 factors and alternative models
RM_RF	0.982	0.975	0.97
SMB	0.981	0.945	0.927
HML	0.978	0.977	0.904

Note(s): This table compares the original FF3 model with its alternative versions: FF3_E1, FF3_E3 and FF3_E5. FF3_E1 is constructed by excluding the single largest stock by market capitalization, while FF3_E3 and FF3_E5 exclude the top 1–3 and top 1–5 stocks, respectively. Market-cap rankings are determined as of the end of June each year and applied consistently from July of that year through June of the following year. Panel A reports summary statistics for each factor, and Panel B shows the correlations between the original FF3 factors (RM_RF, SMB, HML) and the corresponding factors in each alternative model. All p-values for the correlation coefficients in Panel B are below 0.001 and thus omitted

Source(s): Author’s own work

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