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Table 5 Regression results of Fama–French’s three-factor model for six portfolios \(R_{Pt} {-} \, R_{Ft} = \, a \, + \, b \, \left( {R_{Mt} - R_{Ft} } \right) \, + \, s \, \;{\text{SMB}}_{t} + \, l\,{\text{ LMH}}_{t} + \, e_{t}\)

From: Is idiosyncratic risk ignored in asset pricing: Sri Lankan evidence?

 

MC

PB

P11

P12

P13

P14

P15

P16

P11

P12

P13

P14

P15

P16

c

0.003

0.003

0.004

0.003

0.003

0.003

0.004

0.002

0.004

0.004

0.003

0.002

Rm

2.001

2.005

1.958

1.991

1.944

1.991

1.991

1.981

1.971

1.936

1.995

1.993

SMB

0.619

0.578

0.490

− 0.268

− 0.218

− 0.214

0.544

0.263

0.049

0.018

− 0.120

0.099

LMH

− 0.380

0.063

− 0.079

− 0.153

− 0.265

− 0.068

0.650

0.061

− 0.168

− 0.253

− 0.327

− 0.754

tc

1.535

1.463

1.963

1.304

1.600

1.527

1.786

0.850

1.878

2.055*

1.470

1.298

tr

5.664*

5.412*

5.756*

5.047*

5.837*

6.194*

5.836*

5.142*

5.378*

5.283*

5.552*

6.872*

ts

3.228*

3.291*

2.665*

− 1.554

− 1.263

− 1.335

3.085*

1.505

0.274

0.104

− 0.626

0.620

tl

− 2.072*

0.376

− 0.449

− 0.925

− 1.610

− 0.441

3.849*

0.363

− 0.979

− 1.500

− 1.781

− 4.957

R2

0.967

0.972

0.968

0.973

0.972

0.976

0.971

0.972

0.970

0.970

0.967

0.977

 

IVOL

 

P11

P12

P13

P14

P15

P16

c

0.002

0.003

0.004

0.003

0.001

0.004

Rm

1.997

1.996

1.997

1.951

1.950

2.008

SMB

− 0.159

0.097

− 0.013

0.371

0.393

0.223

LMH

− 0.063

0.123

− 0.122

0.124

− 0.171

− 0.281

tc

1.453

1.207

2.018*

1.141

0.729

1.835

tr

6.885*

5.827*

5.658*

4.996*

5.585*

5.768*

ts

− 1.030

0.508

− 0.069

1.878

2.307*

1.210

tl

− 0.424

0.676

− 0.693

0.654

− 1.049

− 1.586

R2

0.978

0.967

0.969

0.963

0.972

0.969

  1. s and l are the sensitivity coefficients of SMB and LMH factors
  2. *Significant at 5% level