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Table 6 Time-series regression of three sets of portfolios on FF3F 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 regression of six value-weighted Size-B/P portfolios

 

Book-to-price (B/P) ratio

 

L

M

H

L

M

H

 

a

t(a)

S

0.0113

0.0113

0.0112

7.4842

4.5837

6.1412

B

0.0123

0.0092

0.0123

6.2322

3.3146

6.4849

 

b

t(b)

S

0.8979

0.9231

0.9059

32.6701

27.0157

32.2014

B

0.8504

1.0340

0.8424

27.3918

22.4104

22.1472

 

s

t(s)

S

0.9057

0.8874

0.8548

27.9738

15.5660

19.8422

B

−0.1441

−0.1149

−0.0931

3.4693

−1.3686

2.7201

 

h

t(h)

S

−0.4025

−0.3497

−0.0262

5.0751

4.3756

−0.4383

B

−0.9630

−0.4761

0.6607

15.1937

5.5671

7.1594

 

Adj. R-square

Residual standard error

S

0.9803

0.9782

0.9746

0.0114

0.0120

0.0119

B

0.9623

0.9545

0.9542

0.0122

0.0147

0.0130

Panel B: time-series regression of six value-weighted Size-OP portfolios

 

Profitability

 

W

N

R

W

N

R

 

a

t(a)

S

0.0038

0.0042

−0.0022

1.3466

0.7791

−0.5303

B

0.0000

0.0027

0.0010

−0.0179

1.5449

0.3059

 

b

t(b)

S

0.9236

0.9733

1.0657

24.3001

17.2826

17.4507

B

1.0967

0.9896

1.1164

19.0453

34.3179

20.3752

 

s

t(s)

S

1.0674

0.8611

0.7540

7.9772

5.1362

5.5995

B

0.4230

0.3508

−0.1688

3.8493

7.9956

−1.5525

 

h

t(h)

S

−0.2302

−0.5825

−0.4059

1.8362

3.4193

2.2086

B

−0.1523

−0.4188

−0.7060

−1.3302

4.9840

6.5449

 

Adj. R-square

Residual standard error

S

0.9456

0.9158

0.8514

0.0200

0.0261

0.0356

B

0.9520

0.9698

0.9388

0.0174

0.0127

0.0188

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

 

Investment

 

C

N

A

C

N

A

 

a

t(a)

S

−0.0002

0.0024

−0.0015

−0.1061

1.1784

−0.7269

B

−0.0025

0.0000

−0.0038

−1.3087

0.0310

2.4503

 

b

t(b)

S

0.9521

0.9745

0.9667

34.0437

37.7947

50.2415

B

1.0796

1.0393

1.0323

26.3027

37.0603

31.6716

 

s

t(s)

S

1.1180

0.9787

1.0170

19.8524

22.2040

16.8657

B

0.5370

0.3491

0.3535

8.8230

7.1627

5.0630

 

h

t(h)

S

−0.2089

−0.4312

−0.3873

2.3319

5.7192

3.2013

B

−0.1090

−0.3505

−0.6595

−0.9868

4.6239

7.1360

 

Adj. R-square

Residual standard error

S

0.9701

0.9778

0.9508

0.0151

0.0131

0.0197

B

0.9595

0.9742

0.9621

0.0160

0.0121

0.0155

  1. Regression: R i,t  − R f  = a i  + b i (R M,t  − R f ) + s i SMB + h i HML + ε i,t
  2. This table reports the time-series regression of six value-weighted Size-B/P portfolios, six value-weighted Size-OP portfolios, and six value-weighted Size-Inv portfolios on FF3F Model on Chinese A-share stock market; across the columns are the two size groups, and across the rows are the three B/P ratio groups. The left part of the table is the coefficients obtained from the regressions (a is the intercept, b, s, and h are the regression slopes of FF three factors separately) and adjusted R-square. Correspondingly, the right part of the table is t-statistics corrected for heteroscedasticity and autocorrelation using the Newey-West estimator and the standard error of the estimation ε i,t . Numbers in italics are the t-statistics which are significant at 5% confidence level