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 |