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China Finance and Economic Review

Table 5 Time-series regressions of three sets of portfolios on FF5F Model, Chinese A-share stock market

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

Panel A: time-series regressions of six value-weighted Size-B/P portfolios

 

Book-to-price (B/P) ratio

 

L

M

H

L

M

H

 

a

t(a)

S

0.0102

0.0105

0.0108

7.4308

4.4938

5.6696

B

0.0124

0.0091

0.0118

6.8522

3.8634

6.4458

 

b

t(b)

S

0.9637

0.9964

0.9703

41.1513

36.2183

35.8284

B

0.8361

1.0214

0.8295

27.6969

28.5669

20.8687

 

s

t(s)

S

1.0039

0.9383

0.8557

15.9153

16.3385

11.3131

B

−0.1946

−0.2434

−0.0465

−2.8370

−2.4971

−0.5165

 

h

t(h)

S

−0.5849

−0.5197

−0.2689

−6.2171

−6.9004

−3.9751

B

−0.9928

−0.6007

0.6912

−12.4860

−7.2244

5.1532

 

r

t(r)

S

−0.0695

−0.1448

−0.0617

−1.1264

−1.9122

−0.7331

B

0.0188

−0.0456

0.0110

0.2597

−0.6538

0.1965

 

c

t(c)

S

0.2515

0.1051

0.3064

2.6156

1.0264

2.3582

B

0.1114

0.2802

0.0565

1.2338

3.4851

0.5584

 

Adj. R-square

Residual standard error

S

0.9782

0.9714

0.9606

0.0120

0.0137

0.0148

B

0.9625

0.9609

0.9513

0.0122

0.0136

0.0134

Panel B: time-series regressions of six Size-OP portfolios

 

Operating Profitability

 

W

N

R

W

N

R

 

a

t(a)

S

0.0012

0.0020

−0.0018

0.5498

0.4592

−1.0778

B

−0.0009

0.0028

0.0021

−0.5008

1.4503

0.6190

 

b

t(b)

S

1.0075

1.0408

1.0492

35.8879

20.1490

31.7018

B

1.1300

1.0253

1.0883

26.7879

34.3991

25.3012

 

s

t(s)

S

1.1712

0.9800

1.5637

13.2828

5.5382

18.1679

B

0.2480

0.2628

−0.1445

2.3517

3.3480

−1.1030

 

h

t(h)

S

−0.4482

−0.7244

−0.2020

−4.5108

−3.9157

−1.9726

B

−0.4560

−0.5496

−0.7022

−4.4978

−5.9760

−6.6825

 

r

t(r)

S

−0.3429

−0.2601

1.1319

−4.6763

−2.5519

15.7233

B

−0.2265

−0.1198

0.2987

−3.5011

−1.3591

3.4009

 

c

t(c)

S

0.2644

0.1610

0.5398

2.4244

0.7310

4.2483

B

0.4613

0.0414

0.1860

5.8956

0.3561

1.3955

 

Adj. R-square

Residual standard error

S

0.9720

0.9301

0.9653

0.0143

0.0238

0.0172

B

0.9643

0.9640

0.9486

0.0150

0.0139

0.0172

Panel C: time-series regressions of six Size-Inv portfolios

 

Investment

 

C

N

A

C

N

A

 

a

t(a)

S

−0.0017

0.0018

−0.0016

−1.0068

0.8186

−0.9026

B

−0.0029

0.0003

−0.0030

−1.5573

0.1566

−1.5819

 

b

t(b)

S

1.0274

1.0548

1.0708

35.4151

33.9728

31.3516

B

1.1116

1.0704

1.0683

27.7982

32.5243

27.9726

 

s

t(s)

S

1.1998

1.1137

1.2837

14.5888

14.7519

18.0777

B

0.4978

0.3165

0.4139

5.5174

4.7070

4.0713

 

h

t(h)

S

−0.5135

−0.5369

−0.2393

−4.8437

−6.2005

−2.2282

B

−0.3527

−0.4482

−0.6269

−3.2055

−5.6888

−5.9485

 

r

t(r)

S

−0.0871

−0.0789

−0.1329

−0.9804

−0.8737

−1.3784

B

0.0023

−0.0330

0.0481

0.0249

−0.5768

0.5404

 

c

t(c)

S

0.5330

−0.0210

−0.7507

3.2129

−0.2007

−4.8137

B

0.4623

0.0445

−0.2540

3.7475

0.4260

−1.9740

 

Adj. R-square

Residual standard error

S

0.9739

0.9713

0.9722

0.0141

0.0149

0.0148

B

0.9595

0.9680

0.9607

0.0160

0.0135

0.0157

  1. Regression: R i,t  − R f  = a i  + b i (R M,t  − R f ) + s i SMB + h i HML + r i RMW + c i CMA + e i,t
  2. This table presents the time-series regressions results of six value-weighted Size-B/P portfolios, six value-weighted Size-OP portfolios, and six value-weighted Size-Inv portfolios on FF5F Model on Chinese A-share stock market during the period July 2010 to May 2015 (59 months). In each panel, the regression intercept a, the regression coefficients b, s, h, r, and c of market factor, size factor, value factor, profitability factor, and investment factor and adjusted R-square are respectively presented in the left part of the table; the corresponding t-statistics corrected for heteroscedasticity and autocorrelation using the Newey-West estimator with five-lags and residual standard error are presented in the right part. Panel A is the regressions on six value-weighted Size-B/P portfolios; across the columns are the two size groups (small and big), and across the rows are the three B/P groups (low, medium, and high). Panel B is the regression results of six Size-OP portfolios, same as Panel A; across the columns are the two size groups, and across the rows are the three OP groups (weak, neutral, and robust). Panel C is the regression results of six Size-Inv portfolios; across the columns are the two size groups, and across the rows are the three investment groups (conservative, neutral, and aggressive). Numbers in italics are the t-stats which are significant at 5% confidence level
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