| Model | Regression | |
|---|---|---|
| 1 | Fama–French five-factor model | (Ri-Rf) t = α + b1 (Rm-Rf) t + b2SMBt + b3HMLt + b4CMAt + b5RMWt + eit |
| 2 | Augmented Fama–French five-factor model | (Ri-Rf) t = α + b1 (Rm-Rf) t + b2SMBt + b3HMLt + b4CMAt + b5RMWt + b6RD + eit |
| Model | Regression | |
|---|---|---|
| 1 | Fama–French five-factor model | (Ri-Rf) |
| 2 | Augmented Fama–French | (Ri-Rf) |
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