Table A1 Fama and French (2015)...

Table A1

Fama and French (2015) five-factor model

	$R_{m} - R_{f}$		$S M B$		$H M L$		$R M W$		$C M A$
	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic
Small size	0.09	0.97	0.76***	8.18	0.42***	3.54	0.11	0.71	0.02	0.15
Size-2	0.13	1.30	0.24**	2.28	0.33**	2.50	0.11	0.61	−0.06	−0.37
Size-3	0.15	1.19	0.28**	2.27	0.29	1.86	0.00	−0.01	−0.32	−1.67
Size-4	0.14	1.21	0.04	0.34	0.33**	2.16	0.05	0.26	−0.14	−0.76
Large size	0.09	0.97	−0.24**	−2.53	0.42***	3.54	0.11	0.71	0.02	0.15
Low BM	0.13	1.35	0.18	1.93	−0.14	−1.15	−0.14	−0.89	−0.15	−1.02
BM-2	0.10	0.87	0.03	0.31	0.21	1.48	−0.25	−1.32	−0.18	−1.08
BM-3	0.10	0.88	0.04	0.35	0.37**	2.42	−0.09	−0.44	−0.11	−0.60
BM-4	0.05	0.43	0.22	1.92	0.26	1.76	−0.20	−1.00	−0.18	−1.01
High BM	0.13	1.35	0.18	1.93	0.86***	7.15	−0.14	−0.89	−0.15	−1.02
Low p;rofit	0.14	1.50	0.10	0.98	0.33***	2.68	−0.75***	−4.61	−0.12	−0.79
Prof-2	0.07	0.68	0.19	1.71	0.44***	3.12	−0.03	−0.14	−0.07	−0.41
Prof-3	0.11	0.91	0.09	0.73	0.29*	1.83	−0.18	−0.88	−0.29	−1.51
Prof-4	0.03	0.33	0.19	1.83	0.17	1.32	−0.11	−0.62	−0.18	−1.11
Highprofit	0.14	1.50	0.10	0.98	0.33***	2.68	0.25	1.51	−0.12	−0.79
Low investment	0.14	1.38	0.13	1.28	0.36***	2.75	−0.09	−0.51	0.43***	2.68
Inv-2	0.04	0.38	0.16	1.50	0.43***	3.16	−0.14	−0.76	−0.19	−1.14
Inv-3	0.10	0.97	0.15	1.40	0.17	1.29	−0.25	−1.39	−0.17	−1.08
Inv-4	0.08	0.71	0.09	0.78	0.22	1.59	−0.25	−1.31	−0.25	−1.48
High investment	0.14	1.38	0.13	1.28	0.36***	2.75	−0.09	−0.51	−0.57***	−3.60

	$R_{m} - R_{f}$		$S M B$		$H M L$		$R M W$		$C M A$
	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic
Small size	0.09	0.97	0.76***	8.18	0.42***	3.54	0.11	0.71	0.02	0.15
Size-2	0.13	1.30	0.24**	2.28	0.33**	2.50	0.11	0.61	−0.06	−0.37
Size-3	0.15	1.19	0.28**	2.27	0.29	1.86	0.00	−0.01	−0.32	−1.67
Size-4	0.14	1.21	0.04	0.34	0.33**	2.16	0.05	0.26	−0.14	−0.76
Large size	0.09	0.97	−0.24**	−2.53	0.42***	3.54	0.11	0.71	0.02	0.15
Low BM	0.13	1.35	0.18	1.93	−0.14	−1.15	−0.14	−0.89	−0.15	−1.02
BM-2	0.10	0.87	0.03	0.31	0.21	1.48	−0.25	−1.32	−0.18	−1.08
BM-3	0.10	0.88	0.04	0.35	0.37**	2.42	−0.09	−0.44	−0.11	−0.60
BM-4	0.05	0.43	0.22	1.92	0.26	1.76	−0.20	−1.00	−0.18	−1.01
High BM	0.13	1.35	0.18	1.93	0.86***	7.15	−0.14	−0.89	−0.15	−1.02
Low p;rofit	0.14	1.50	0.10	0.98	0.33***	2.68	−0.75***	−4.61	−0.12	−0.79
Prof-2	0.07	0.68	0.19	1.71	0.44***	3.12	−0.03	−0.14	−0.07	−0.41
Prof-3	0.11	0.91	0.09	0.73	0.29*	1.83	−0.18	−0.88	−0.29	−1.51
Prof-4	0.03	0.33	0.19	1.83	0.17	1.32	−0.11	−0.62	−0.18	−1.11
Highprofit	0.14	1.50	0.10	0.98	0.33***	2.68	0.25	1.51	−0.12	−0.79
Low investment	0.14	1.38	0.13	1.28	0.36***	2.75	−0.09	−0.51	0.43***	2.68
Inv-2	0.04	0.38	0.16	1.50	0.43***	3.16	−0.14	−0.76	−0.19	−1.14
Inv-3	0.10	0.97	0.15	1.40	0.17	1.29	−0.25	−1.39	−0.17	−1.08
Inv-4	0.08	0.71	0.09	0.78	0.22	1.59	−0.25	−1.31	−0.25	−1.48
High investment	0.14	1.38	0.13	1.28	0.36***	2.75	−0.09	−0.51	−0.57***	−3.60

Note(s): ** and *** indicate significance at 5 and 1%, respectively

Source(s): Own elaboration based on data taken from Thomson-Reuters DataStream

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