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Table 7 Time-series regressions of three sets of portfolios on FF5F Model on US 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 on six Size-B/M portfolios

     Book-to-Market (B/M) ratio

 

L

M

H

L

M

H

  

a

  

t(a)

 

S

−0.2123

−0.0328

0.2391

−1.2440

−0.3040

1.4394

B

0.0339

−0.0369

0.0197

0.2766

−0.2794

0.1673

  

b

    

S

0.9867

1.0036

0.8091

18.0426

37.3893

18.0305

B

1.0715

1.1142

1.0577

30.4708

21.6453

42.6438

  

s

    

S

0.7036

0.7975

0.4312

13.4733

17.5148

5.5548

B

0.2231

0.1980

0.1550

4.6577

3.4748

2.2473

  

h

    

S

−0.2137

0.2549

0.3912

−2.0573

4.1878

3.8325

B

−0.2152

0.0582

0.6456

−4.9748

0.9063

9.2306

  

r

    

S

−0.7327

−0.1351

−0.3846

−5.4871

2.2599

−3.0270

B

−0.1506

−0.0322

0.0110

2.7377

−0.3318

0.1531

  

c

    

S

−0.3047

−0.2155

−0.0974

2.7655

2.3334

−0.7657

B

−0.2294

−0.0887

−0.1666

2.3567

−1.1923

−1.4554

 

Adj. R-square

Residual standard error

S

0.9517

0.9733

0.9084

1.152

0.7979

1.251

B

0.967

0.9591

0.958

0.7727

0.8809

0.8895

Panel B: time-series regressions on Size-OP portfolios

     Operating profitability

 

W

N

R

W

N

R

  

a

  

t(a)

 

S

−0.0188

0.0898

−0.0396

−0.3438

1.1708

−0.4349

B

−0.0842

0.0989

−0.0640

−0.7461

2.2880

−1.9871

  

b

    

S

0.9812

0.9853

1.0646

81.0285

51.1117

32.7726

B

1.1136

0.9412

1.0298

27.2225

50.5000

97.2971

  

s

    

S

0.8675

0.9675

0.9317

33.4687

20.9395

14.3934

B

−0.0693

−0.0541

−0.1339

−1.0857

−1.2950

4.5316

  

h

    

S

−0.1143

0.2669

0.2011

−4.5007

6.3486

3.9980

B

0.2443

0.0392

−0.0708

4.5818

1.0984

2.7060

  

r

    

S

−0.6348

0.2597

0.4475

18.4610

5.1374

9.5450

B

−0.5864

−0.1016

0.3304

8.4796

2.7847

12.2607

  

c

    

S

0.0768

−0.0627

−0.1247

1.6662

−1.0611

−1.5351

B

−0.2849

0.1389

−0.0839

3.0221

2.6995

2.0856

 

Adj. R-square

Residual standard error

S

0.9945

0.9851

0.9826

0.3928

0.5772

0.629

B

0.9775

0.9863

0.9903

0.6871

0.4101

0.3345

Panel C: time-series regressions on Size-Inv portfolios

     Investment

 

C

N

A

C

N

A

  

a

  

t(a)

 

S

−0.0540

0.1144

0.0071

−0.8730

2.3620

0.1573

B

0.0831

−0.0428

0.0259

1.1236

−0.7299

0.4733

  

b

    

S

1.0880

0.9710

0.9681

81.6853

35.9423

47.1125

B

0.9326

0.9912

1.0521

32.4959

48.6599

77.8118

  

s

    

S

0.8760

0.8942

0.9702

19.7427

26.8312

30.5318

B

−0.0835

−0.0167

−0.1786

2.1632

−0.9118

5.7904

  

h

    

S

−0.0163

0.1754

0.0238

−0.3663

5.4018

0.7234

B

−0.0260

0.0615

−0.0658

−0.4450

1.3401

−1.4661

  

r

    

S

−0.2339

0.1339

−0.2181

5.6108

3.5684

4.7274

B

−0.0001

0.0573

−0.0174

−0.0013

1.1884

−0.3659

  

c

    

S

0.3567

0.1159

−0.4264

5.2777

2.0770

7.7210

B

0.6429

0.1819

−0.5734

7.3145

3.4479

8.1165

 

Adj. R-square

Residual standard error

S

0.9908

0.9879

0.9907

0.5122

0.5121

0.4829

B

0.9764

0.9872

0.9799

0.5425

0.4094

0.5188

  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 regression 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 US stock market. 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 and residual standard error are presented in the right part. Panel A is the regressions on six Size-B/M portfolios; across the columns are the two size groups (small and big), and across the rows are the three B/M 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