Table 4 Differences in estimated...

Table 4

Differences in estimated coefficients between FF3 and alternative models

Variable	Model	Mean	Std. dev	Std. err
α	FF3_E1	9.747	11.735	0.266
	FF3_E3	12.886	16.875	0.383
	FF3_E5	14.556	25.345	0.575
RM_RF	FF3_E1	−0.626	21.777	0.494
	FF3_E3	1.279	30.159	0.685
	FF3_E5	3.702	34.258	0.778
SMB	FF3_E1	−46.656	41.977	0.953
	FF3_E3	−54.962	63.931	1.451
	FF3_E5	−59.817	83.266	1.890
HML	FF3_E1	−25.431	54.943	1.247
	FF3_E3	−39.469	79.702	1.810
	FF3_E5	−35.760	90.753	2.060
Adjusted R²	FF3_E1	1.397	6.939	0.158
	FF3_E3	1.700	8.092	0.184
	FF3_E5	1.857	9.334	0.212

Variable	Model	Mean	Std. dev	Std. err
α	FF3_E1	9.747	11.735	0.266
	FF3_E3	12.886	16.875	0.383
	FF3_E5	14.556	25.345	0.575
RM_RF	FF3_E1	−0.626	21.777	0.494
	FF3_E3	1.279	30.159	0.685
	FF3_E5	3.702	34.258	0.778
SMB	FF3_E1	−46.656	41.977	0.953
	FF3_E3	−54.962	63.931	1.451
	FF3_E5	−59.817	83.266	1.890
HML	FF3_E1	−25.431	54.943	1.247
	FF3_E3	−39.469	79.702	1.810
	FF3_E5	−35.760	90.753	2.060
Adjusted R²	FF3_E1	1.397	6.939	0.158
	FF3_E3	1.700	8.092	0.184
	FF3_E5	1.857	9.334	0.212

Note(s): This table reports the differences in estimated coefficients between the baseline FF3 and the exclusion models (FF3_E1, FF3_E3, FF3_E5). Reported are mean, standard deviation and standard error of factor loadings. Values are scaled by 1,000, and alphas are annualized using 252 trading days

Source(s): Author’s own work

[ViewLarge]

Sharing Unavailable