Factor spanning test
| RM | SMB | HML | CMA | RMW | RD | Intercept | |
|---|---|---|---|---|---|---|---|
| RM | −0.15 (0.009) | −0.05 (0.48) | −0.15 (0.096) | −0.13 (0.15) | 0.26 (0.00) | 0.19** (0.04) | |
| SMB | −0.39 (0.009) | 0.39 (0.002) | −0.24 (0.009) | 0.14 (0.31) | 0.25 (0.00) | 0.012* (0.001) | |
| HML | −0.075 (0.48) | 0.19 (0.002) | 0.33 (0.001) | −0.23 (0.015) | 0.098 (0.004) | 0.019** (0.047) | |
| CMA | −0.16 (0.096) | −0.104 (0.09) | 0.29 (0.001) | −0.26 (0.003) | 0.049 (0.12) | 0.019 (0.76) | |
| RMW | −0.15 (0.15) | 0.066 (0.31) | −0.22 (0.015) | −0.29 (0.003) | −0.017 (0.62) | 0.047 (0.075) | |
| RD | 0.41 (0.00) | 0.22 (0.03) | 0.72 (0.004) | 0.09 (0.12) | −0.13 (0.62) | 0.0134* (0.004) |
| RM | SMB | HML | CMA | RMW | RD | Intercept | |
|---|---|---|---|---|---|---|---|
| RM | −0.15 (0.009) | −0.05 (0.48) | −0.15 (0.096) | −0.13 (0.15) | 0.26 (0.00) | 0.19 | |
| SMB | −0.39 (0.009) | 0.39 (0.002) | −0.24 (0.009) | 0.14 (0.31) | 0.25 (0.00) | 0.012 | |
| HML | −0.075 (0.48) | 0.19 (0.002) | 0.33 (0.001) | −0.23 (0.015) | 0.098 (0.004) | 0.019 | |
| CMA | −0.16 (0.096) | −0.104 (0.09) | 0.29 (0.001) | −0.26 (0.003) | 0.049 (0.12) | 0.019 (0.76) | |
| RMW | −0.15 (0.15) | 0.066 (0.31) | −0.22 (0.015) | −0.29 (0.003) | −0.017 (0.62) | 0.047 (0.075) | |
| RD | 0.41 (0.00) | 0.22 (0.03) | 0.72 (0.004) | 0.09 (0.12) | −0.13 (0.62) | 0.0134 |
*,
**shows significance at the 1, 5 and 10%, respectively
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