Multifactor regression results
| Jensen single-factor model | Fama–French three-factor model | Carhart four-factor model | Fama–French five-factor model | |
|---|---|---|---|---|
| α | −0.0009 (−1.39) | −0.0011 (−1.99**) | −0.0009 (1.49) | −0.0013 (−2.57**) |
| βMKT | 0.9722 (54.5***) | 0.9712 (84.0***) | 0.9589 (62.2***) | 0.9812 (64.2***) |
| βHML (Value) | – | 0.0612 (1.51) | 0.0514 (1.48) | 0.0417 (1.01) |
| βSMB (Size) | – | 0.0578 (1.44) | 0.0627 (1.63) | 0.0949 (2.48***) |
| βUMD (Momentum) | – | – | −0.0296 (−1.74*) | – |
| βRMV (Profitability) | – | – | – | 0.0803 (3.07***) |
| βCMA (Investment) | – | – | – | −0.0353 (−1.03) |
| R2 | 0.9715 | 0.9741 | 0.9752 | 0.9761 |
| Adj R2 | 0.9713 | 0.9738 | 0.9748 | 0.9756 |
| F-stat | 8,272*** | 3,024*** | 2,359*** | 1,950*** |
| Jensen single-factor model | Fama–French three-factor model | Carhart four-factor model | Fama–French five-factor model | |
|---|---|---|---|---|
| −0.0009 (−1.39) | −0.0011 (−1.99**) | −0.0009 (1.49) | −0.0013 (−2.57**) | |
| 0.9722 (54.5***) | 0.9712 (84.0***) | 0.9589 (62.2***) | 0.9812 (64.2***) | |
| – | 0.0612 (1.51) | 0.0514 (1.48) | 0.0417 (1.01) | |
| – | 0.0578 (1.44) | 0.0627 (1.63) | 0.0949 (2.48***) | |
| – | – | −0.0296 (−1.74*) | – | |
| – | – | – | 0.0803 (3.07***) | |
| – | – | – | −0.0353 (−1.03) | |
| 0.9715 | 0.9741 | 0.9752 | 0.9761 | |
| Adj | 0.9713 | 0.9738 | 0.9748 | 0.9756 |
| 8,272*** | 3,024*** | 2,359*** | 1,950*** |
Notes: This table reports empirical results corresponding to the multifactor regressions formulated by Equations (4) through (7), representing Jensen single-factor, Fama–French three-factor, Carhart four-factor and Fama–French five-factor models. The dependent variable is the equally weighted average of 66 equity SRI fund returns. *,*****Show statistical significant at 10, 5 and 1 percent levels, respectively
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