组合

相关系数

截距项

拟合优度

MKT_t

SMB_t

HML_t

Cons

R²

B/L

1.2081^***

(0.0185)

−0.1846^***

(0.0343)

0.6061^***

(0.0728)

−0.0002

(0.0001)

0.9502

B/H

0.6837^***

(0.0263)

−0.1725^***

(0.0461)

−0.4160^***

(0.0813)

−0.0001

(0.0001)

0.7901

S/L

1.3259^***

(0.0418)

1.2289^***

(0.0662)

−0.0602

(0.1365)

0.0005^**

(0.0002)

0.8494

S/H

0.8223^***

(0.0297)

0.5204^***

(0.0518)

−0.3725^***

(0.1096)

0.0000

(0.0002)

0.7721