Table 12 Fama-French factor analysis...

Table 12

Fama-French factor analysis results

(a) Fama-French three factor analysis
Variable	Beta	Std. error	t-statistic	Prob	Sig
C, or alpha	(0.0022)	0.0009	(2.6)	0.0105	**
MKT_RF	0.0036	0.0007	5.1	0.0000	***
SMB	0.0073	0.0015	4.9	0.0000	***
HML	(0.0031)	0.0012	(2.6)	0.0093	***

(a) Fama-French three factor analysis
Variable	Beta	Std. error	t-statistic	Prob	Sig
C, or alpha	(0.0022)	0.0009	(2.6)	0.0105	**
MKT_RF	0.0036	0.0007	5.1	0.0000	***
SMB	0.0073	0.0015	4.9	0.0000	***
HML	(0.0031)	0.0012	(2.6)	0.0093	***

(b) Fama-French five factor analysis
Variable	Beta	Std. error	t-statistic	Prob	Sig
C, or alpha	(0.0022)	0.0009	(2.5)	0.0131	**
MKT_RF	0.0036	0.0008	4.8	0.0000	***
SMB	0.0068	0.0015	4.4	0.0000	***
HML	(0.0026)	0.0015	(1.8)	0.0760	*
RMW	(0.0059)	0.0024	(2.4)	0.0147	**
CMA	0.0009	0.0031	0.3	0.7755

(b) Fama-French five factor analysis
Variable	Beta	Std. error	t-statistic	Prob	Sig
C, or alpha	(0.0022)	0.0009	(2.5)	0.0131	**
MKT_RF	0.0036	0.0008	4.8	0.0000	***
SMB	0.0068	0.0015	4.4	0.0000	***
HML	(0.0026)	0.0015	(1.8)	0.0760	*
RMW	(0.0059)	0.0024	(2.4)	0.0147	**
CMA	0.0009	0.0031	0.3	0.7755

Note(s): Dependent variable: RET – R_f. Panel (a) shows three-factor results

Panel (b) shows five-factor results

The results are based on a REM conducted in a 1636 (days) × 6 (cross-section) panel setting

Significance at the 10, 5 and 1% levels are indicated by *, ** and ***, respectively. The date range is from 12/31/2013 to 08/01/2020

Sharing Unavailable