Fama–French three-factor regression results for the BSE 100 ESG Index
| Variables | Coefficient | t-statistic | p-value |
|---|---|---|---|
| Constant (α) | −0.158 | −0.807 | 0.422 |
| Market factor (MF) | 0.963*** | 20.609 | <0.001 |
| SMB | −0.133*** | −2.778 | 0.007 |
| HML | 0.026 | 0.550 | 0.584 |
| Adjusted R2 | 0.852 | ||
| F-statistic | 185.908* | ||
| Observations (N) | 97 | ||
| Durbin–Watson | 2.266 |
| Variables | Coefficient | ||
|---|---|---|---|
| Constant (α) | −0.158 | −0.807 | 0.422 |
| Market factor (MF) | 0.963*** | 20.609 | <0.001 |
| SMB | −0.133*** | −2.778 | 0.007 |
| HML | 0.026 | 0.550 | 0.584 |
Note(s): Dependent variable = Excess Return. ***p < 0.01
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