|
| Rm − Rf | SMB | HML | |
| Rm − Rf | 1.0000 | −0.0686 | −0.2363 | |
| SMB | −0.0686 | 1.0000 | 0.7369 | |
| HML | −0.2363 | 0.7369 | 1.0000 | |
| DW值 | 1.8983 | |||
| White检验Obs × R2 | 2.5243 | |||
| White检验P值 | 0.9710 | |||