Regression results of CAPM
| Model | Portfolio | α(Intercept) | β (market risk) | s(Size) | h(Value) | R2 | Adj R2 |
|---|---|---|---|---|---|---|---|
| CAPM | S/L | −0.85*** (−3.03) | 1.08*** (19.28) | … | … | 0.70 | 0.69 |
| S/M | −0.45*** (−2.27) | 1.10*** (30.25) | … | … | 0.85 | 0.85 | |
| S/H | 0.40 (1.42) | 1.20*** (11.48) | … | … | 0.73 | 0.73 | |
| B/L | 0.41** (2.44) | 0.69*** (9.84) | … | … | 0.71 | 0.71 | |
| B/M | 0.35** (2.22) | 0.80*** (25.54) | … | … | 0.80 | 0.80 | |
| B/H | 0.13 (0.68) | 1.07*** (27.87) | … | … | 0.83 | 0.83 |
| Model | Portfolio | α(Intercept) | β (market risk) | s(Size) | h(Value) | Adj | |
|---|---|---|---|---|---|---|---|
| CAPM | S/L | −0.85*** (−3.03) | 1.08*** (19.28) | … | … | 0.70 | 0.69 |
| S/M | −0.45*** (−2.27) | 1.10*** (30.25) | … | … | 0.85 | 0.85 | |
| S/H | 0.40 (1.42) | 1.20*** (11.48) | … | … | 0.73 | 0.73 | |
| B/L | 0.41** (2.44) | 0.69*** (9.84) | … | … | 0.71 | 0.71 | |
| B/M | 0.35** (2.22) | 0.80*** (25.54) | … | … | 0.80 | 0.80 | |
| B/H | 0.13 (0.68) | 1.07*** (27.87) | … | … | 0.83 | 0.83 |
Note(s): ***, **, * indicates significant at 1%, 5%, and 10% level, respectively. t-values are shown in parentheses
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