Table 6 Comparison of CAPM and FF3FM... | Emerald Publishing

Table 6

Comparison of CAPM and FF3FM

Variables	CAPM			FF3FM
Variables	α(Intercept)	R²	Adj R²	α(Intercept)	R²	Adj R²
S/L	−0.85*** (−3.03)	0.70	0.69	−0.16 (−1.00)	0.92	0.92
S/M	−0.45*** (−2.27)	0.85	0.85	0.23 (1.25)	0.88	0.88
S/H	0.40 (1.42)	0.73	0.73	0.43*** (3.03)	0.94	0.94
B/L	0.41** (2.44)	0.71	0.71	0.23** (2.12)	0.90	0.90
B/M	0.35** (2.22)	0.80	0.80	0.08 (0.74)	0.91	0.91
B/H	0.13 (0.68)	0.83	0.83	−0.36* (−2.75)	0.94	0.93

Variables	CAPM			FF3FM
Variables	α(Intercept)	R²	Adj R²	α(Intercept)	R²	Adj R²
S/L	−0.85*** (−3.03)	0.70	0.69	−0.16 (−1.00)	0.92	0.92
S/M	−0.45*** (−2.27)	0.85	0.85	0.23 (1.25)	0.88	0.88
S/H	0.40 (1.42)	0.73	0.73	0.43*** (3.03)	0.94	0.94
B/L	0.41** (2.44)	0.71	0.71	0.23** (2.12)	0.90	0.90
B/M	0.35** (2.22)	0.80	0.80	0.08 (0.74)	0.91	0.91
B/H	0.13 (0.68)	0.83	0.83	−0.36* (−2.75)	0.94	0.93

Note(s): ***, **, * indicates significant at 1%, 5%, and 10% level, respectively. t-values are shown in parentheses

Source(s): Authors' own work