S/L组合

S/M组合

S/H组合

B/L组合

B/M组合

B/H组合

VARIABLES

Rm

Rm

Rm

Rm

Rm

Rm

MKT

0.718***

0.967***

1.009***

0.986***

0.955***

0.893***

(5.45)

(9.93)

(12.49)

(10.69)

(11.14)

(7.74)

HML

−0.341***

0.248***

0.440***

−0.157**

0.075

0.542***

(−3.51)

(3.37)

(7.48)

(−2.33)

(1.21)

(5.88)

SMB

0.603***

0.544***

0.587***

−0.106

−0.091

−0.279**

(4.67)

(5.74)

(7.27)

(−1.17)

(−1.10)

(−2.38)

$\alpha$

0.004

−0.001

0.003

−0.005

−0.000

0.008

(0.41)

(−0.07)

(0.51)

(−0.72)

(−0.01)

(0.89)

Observations

180

235

316

270

330

152

F-statistic

39.95

47.30

72.26

49.68

43.23

30.18

R-squared

0.405

0.381

0.410

0.359

0.285

0.380

Adj R-squared

0.394

0.372

0.404

0.351

0.278

0.367