Regression results of FF3FM
| Model | Portfolio | α(Intercept) | β (market risk) | s(Size) | h(Value) | R2 | Adj R2 |
|---|---|---|---|---|---|---|---|
| Fama French Three- factor Model | S/L | −0.16 (−1.00) | 1.09*** (31.28) | 0.56*** (10.98) | −0.73*** (−18.28) | 0.92 | 0.92 |
| S/M | 0.23 (1.25) | 1.07*** (25.57) | 0.38*** (6.26) | 0.04 (0.70) | 0.88 | 0.88 | |
| S/H | 0.43*** (3.03) | 0.84*** (21.66) | 0.60*** (9.75) | 0.69*** (13.18) | 0.94 | 0.94 | |
| B/L | 0.23** (2.12) | 0.90*** (36.87) | −0.49*** (−13.70) | −0.25*** (−8.77) | 0.90 | 0.90 | |
| B/M | 0.08 (0.74) | 0.97*** (39.64) | −0.50*** (−13.83) | −0.08*** (−2.83) | 0.91 | 0.91 | |
| B/H | −0.36* (−2.75) | 1.15*** (37.56) | −0.53*** (−10.01) | 0.35** (7.02) | 0.94 | 0.93 |
| Model | Portfolio | α(Intercept) | β (market risk) | s(Size) | h(Value) | Adj | |
|---|---|---|---|---|---|---|---|
| Fama French Three- factor Model | S/L | −0.16 (−1.00) | 1.09*** (31.28) | 0.56*** (10.98) | −0.73*** (−18.28) | 0.92 | 0.92 |
| S/M | 0.23 (1.25) | 1.07*** (25.57) | 0.38*** (6.26) | 0.04 (0.70) | 0.88 | 0.88 | |
| S/H | 0.43*** (3.03) | 0.84*** (21.66) | 0.60*** (9.75) | 0.69*** (13.18) | 0.94 | 0.94 | |
| B/L | 0.23** (2.12) | 0.90*** (36.87) | −0.49*** (−13.70) | −0.25*** (−8.77) | 0.90 | 0.90 | |
| B/M | 0.08 (0.74) | 0.97*** (39.64) | −0.50*** (−13.83) | −0.08*** (−2.83) | 0.91 | 0.91 | |
| B/H | −0.36* (−2.75) | 1.15*** (37.56) | −0.53*** (−10.01) | 0.35** (7.02) | 0.94 | 0.93 |
Note(s): ***, **, * indicates significant at 1%, 5%, and 10% level, respectively. t-values are shown in parentheses
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