RM-RF | SMB | HML | RMW | CMA | |
---|---|---|---|---|---|
Panel A: summary statistics of FF five Factors | |||||
Mean | −0.0014 | 0.0106 | −0.0059 | −0.0061 | 0.0008 |
Standard error | 0.0084 | 0.0038 | 0.0046 | 0.0036 | 0.0025 |
Median | −0.0024 | 0.0117 | −0.0075 | −0.0128 | 0.0001 |
SD | 0.0646 | 0.0294 | 0.0355 | 0.0273 | 0.0196 |
Sample variance | 0.0042 | 0.0009 | 0.0013 | 0.0007 | 0.0004 |
Kurtosis | 0.2068 | 6.4386 | 5.9071 | −0.4204 | −0.2635 |
Skewness | 0.1439 | −1.2015 | 0.5658 | 0.3288 | 0.2217 |
Panel B: correlation coefficients among FF five factors | |||||
RM-RF | 1 | ||||
SMB | 0.1165 | 1 | |||
HML | −0.0013 | −0.6970 | 1 | ||
RMW | 0.0418 | −0.2227 | −0.0217 | 1 | |
CMA | 0.1190 | −0.2199 | 0.4621 | −0.3121 | 1 |