Table 10 PSX exposure to global factors...

Table 10

PSX exposure to global factors

	US	Europe	Developed market	Emerging market	Asia-Pacificex-Japan
Market	0.37***	0.32***	0.40***	0.40***	0.28***
t-statistic	2.65	2.86	3.16	4.37	3.02
$S M B$	−0.00	0.58**	0.31	0.42	0.31
t-statistic	−0.01	2.22	1.00	1.38	1.62
$H M L$	0.17	0.28	0.42	0.45	0.08
t-statistic	0.85	1.16	1.48	1.56	0.36
$W M L$	0.03	0.04	0.08	0.48**	0.19
t-statistic	0.27	0.27	0.55	2.51	1.25
R-square	0.03	0.07	0.05	0.10	0.05

	US	Europe	Developed market	Emerging market	Asia-Pacificex-Japan
Market	0.37***	0.32***	0.40***	0.40***	0.28***
t-statistic	2.65	2.86	3.16	4.37	3.02
$S M B$	−0.00	0.58**	0.31	0.42	0.31
t-statistic	−0.01	2.22	1.00	1.38	1.62
$H M L$	0.17	0.28	0.42	0.45	0.08
t-statistic	0.85	1.16	1.48	1.56	0.36
$W M L$	0.03	0.04	0.08	0.48**	0.19
t-statistic	0.27	0.27	0.55	2.51	1.25
R-square	0.03	0.07	0.05	0.10	0.05

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

Source(s): Own elaboration based on data taken from Thomson-Reuters DataStream and Kenneth R. French data library

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