Future Business Journal

Table 7 Regression results of four-factor model for six portfolios \(R_{Pt} {-} \, R_{Ft} = \, a \, + \, b \, \left( {R_{Mt} - R_{Ft} } \right) \, + \, s \, \,{\text{SMB}}_{t} + \, l\;{\text{ LMH}}_{t} + \, v\;{\text{ LvMHv}}_{t} + \, e_{t}\)

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	0.002	0.003	0.003	0.003	0.002	0.004	0.004	0.003	0.002
Rm	2.001	2.002	1.957	1.990	1.943	1.989	1.989	1.980	1.971	1.935	1.993	1.991
SMB	0.622	0.646	0.520	− 0.249	− 0.193	− 0.173	0.579	0.281	0.058	0.030	− 0.083	0.137
LMH	− 0.384	− 0.035	− 0.124	− 0.180	− 0.301	− 0.128	0.598	0.033	− 0.181	− 0.271	− 0.381	− 0.811
LvMHv	0.018	0.488	0.222	0.136	0.177	0.301	0.256	0.136	0.065	0.085	0.271	0.281
tc	1.520	1.366	1.906	1.263	1.549	1.451	1.722	0.811	1.850	2.021*	1.407	1.224
tr	5.336*	5.432*	5.635*	5.775*	5.643*	6.457*	5.821*	5.872*	5.046*	5.964*	5.516*	6.061*
ts	3.173*	3.695*	2.787*	− 1.418	− 1.101	− 1.065	3.240*	1.583	0.318	0.167	− 0.424	0.856
tl	− 2.008*	− 0.203	− 0.678	− 1.049	− 1.760	− 0.811	3.427*	0.192	− 1.014	− 1.539	− 2.009*	− 5.171
tv	0.072	2.208*	0.941	0.610	0.799	1.471	1.133	0.604	0.282	0.374	1.102	1.384
R²	0.967	0.973	0.968	0.973	0.972	0.977	0.971	0.972	0.970	0.970	0.967	0.978

	IVOL
	P11	P12	P13	P14	P15	P16
c	0.002	0.002	0.004	0.002	0.001	0.004
Rm	1.993	1.991	1.993	1.950	1.950	2.011
SMB	− 0.087	0.199	0.061	0.389	0.385	0.152
LMH	− 0.167	− 0.024	− 0.229	0.097	− 0.160	− 0.177
LvMHv	0.518	0.736	0.534	0.134	− 0.057	− 0.517
tc	1.347	1.085	1.932	1.104	0.739	1.997*
tr	6.854*	5.068*	5.747*	4.738*	5.258*	5.945*
ts	− 0.575	1.075	0.335	1.934	2.214*	0.827
tl	− 1.127	− 0.135	− 1.286	0.491	− 0.940	− 0.986
tv	2.705*	3.146*	2.310*	0.527	− 0.257	− 2.224*
R²	0.980	0.970	0.971	0.963	0.972	0.971

s, l and v are the sensitivity coefficients of SMB, LMH and iVOL factors
*Significant at 5% level

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