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Table 3 Summary statistics of Fama-French five factors (period: July 2010–May 2015)

From: Whether profitability and investment factors have additional explanatory power comparing with Fama-French Three-Factor Model: empirical evidence on Chinese A-share stock market

 

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

  1. In this table, Panel A summarizes the mean, standard deviation, and standard error of FF 5 factors, and Panel B is the correlation coefficients among those factors