Table 9 Four-factor model R m − R f S M...

Table 9

Four-factor model

	$R_{m} - R_{f}$		$S M B$		$H M L$		$W M L$
	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic
Panel A: One-Dimensional Portfolios
Small size	0.80***	23.97	0.81***	16.08	0.19***	3.71	−0.02	−0.53
Size-2	0.61***	13.86	0.27***	4.00	0.38***	5.50	0.14**	2.43
Size-3	0.63***	13.44	0.28***	3.98	0.05	0.67	0.09	1.45
Size-4	0.70***	15.83	0.14**	2.07	0.07	1.02	0.01	0.24
Large size	0.80***	23.97	−0.19***	−3.69	0.19***	3.71	−0.02	−0.53
Low BM	0.71***	19.68	0.29***	5.35	−0.25***	−4.43	0.00	0.00
BM-2	0.69***	16.50	0.12	1.90	0.04	0.55	−0.06	−1.13
BM-3	0.77***	17.23	0.23***	3.42	0.12	1.75	0.06	1.05
BM-4	0.63***	15.11	0.29***	4.56	0.32***	4.90	0.03	0.51
High BM	0.71***	19.68	0.29***	5.35	0.75***	13.46	−0.00	−0.00
Low MMT	0.72***	20.27	0.30***	5.52	0.24***	4.28	−0.50***	−10.86
MMT-2	0.64***	15.08	0.23***	3.53	0.18***	2.77	−0.04	−0.75
MMT-3	0.68***	16.39	0.20***	3.22	0.12	1.82	−0.04	−0.80
MMT-4	0.71***	17.10	0.18***	2.93	0.20***	3.11	0.11**	2.12
High MMT	0.72***	20.27	0.30***	5.52	0.24***	4.28	0.50***	11.07
Panel B: Sequentially Sorted Portfolios
BLL	0.61***	14.60	−0.12	−1.7169	−0.04	−0.43	−0.46***	−5.26
BLW	0.63***	15.28	−0.06	−0.7910	0.18**	2.19	0.26***	2.96
BHL	0.70***	14.52	−0.23***	−2.8289	0.79***	8.36	−0.46***	−4.58
BHW	0.58***	11.82	−0.27***	−3.2739	0.84***	8.68	0.36***	3.54
SLL	0.64***	13.19	0.79***	9.5520	−0.26***	−2.76	−0.66***	−6.55
SLW	0.64***	12.83	0.71***	8.4187	−0.11	−1.12	0.57***	5.45
SHL	0.57***	12.16	0.89***	11.0790	1.28***	13.80	−0.72***	−7.31
SHW	0.67***	16.22	0.94***	13.3936	0.86***	10.66	0.52***	5.99

	$R_{m} - R_{f}$		$S M B$		$H M L$		$W M L$
	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic
Panel A: One-Dimensional Portfolios
Small size	0.80***	23.97	0.81***	16.08	0.19***	3.71	−0.02	−0.53
Size-2	0.61***	13.86	0.27***	4.00	0.38***	5.50	0.14**	2.43
Size-3	0.63***	13.44	0.28***	3.98	0.05	0.67	0.09	1.45
Size-4	0.70***	15.83	0.14**	2.07	0.07	1.02	0.01	0.24
Large size	0.80***	23.97	−0.19***	−3.69	0.19***	3.71	−0.02	−0.53
Low BM	0.71***	19.68	0.29***	5.35	−0.25***	−4.43	0.00	0.00
BM-2	0.69***	16.50	0.12	1.90	0.04	0.55	−0.06	−1.13
BM-3	0.77***	17.23	0.23***	3.42	0.12	1.75	0.06	1.05
BM-4	0.63***	15.11	0.29***	4.56	0.32***	4.90	0.03	0.51
High BM	0.71***	19.68	0.29***	5.35	0.75***	13.46	−0.00	−0.00
Low MMT	0.72***	20.27	0.30***	5.52	0.24***	4.28	−0.50***	−10.86
MMT-2	0.64***	15.08	0.23***	3.53	0.18***	2.77	−0.04	−0.75
MMT-3	0.68***	16.39	0.20***	3.22	0.12	1.82	−0.04	−0.80
MMT-4	0.71***	17.10	0.18***	2.93	0.20***	3.11	0.11**	2.12
High MMT	0.72***	20.27	0.30***	5.52	0.24***	4.28	0.50***	11.07
Panel B: Sequentially Sorted Portfolios
BLL	0.61***	14.60	−0.12	−1.7169	−0.04	−0.43	−0.46***	−5.26
BLW	0.63***	15.28	−0.06	−0.7910	0.18**	2.19	0.26***	2.96
BHL	0.70***	14.52	−0.23***	−2.8289	0.79***	8.36	−0.46***	−4.58
BHW	0.58***	11.82	−0.27***	−3.2739	0.84***	8.68	0.36***	3.54
SLL	0.64***	13.19	0.79***	9.5520	−0.26***	−2.76	−0.66***	−6.55
SLW	0.64***	12.83	0.71***	8.4187	−0.11	−1.12	0.57***	5.45
SHL	0.57***	12.16	0.89***	11.0790	1.28***	13.80	−0.72***	−7.31
SHW	0.67***	16.22	0.94***	13.3936	0.86***	10.66	0.52***	5.99

Note(s): First sequential portfolio, BLL, comprises big stocks with low BM and low prior return. Similarly, BLW comprises big stocks with low BM and high prior return and so on. ** and *** denote significance at 5 and 1% levels, respectively

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

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