1 Introduction
2 Literature review
3 Data and methodology
3.1 Data
3.2 Portfolio construction methodology
3.3 Mimicking portfolios
4 Explanatory variables
Rm | SMB | LMH | RMW | CMA | CvMAv | |
---|---|---|---|---|---|---|
Mean returns | 0.010 | 0.013 | 0.008 | 0.001 | 0.001 | 0.002 |
Standard deviations | 0.059 | 0.031 | 0.047 | 0.006 | 0.028 | 0.012 |
T-statistics | 2.151 | 5.177 | 2.164 | 2.115 | 0.617 | 2.115 |
RM | SMB | LMH | RMW | CvMAv | CMA | |
---|---|---|---|---|---|---|
RM | 1 | |||||
SMB | 0.283 | 1 | ||||
LMH | 0.329 | 0.063 | 1 | |||
RMW | − 0.352 | − 0.041 | − 0.843 | 1 | ||
CvMAv | 0.306 | 0.287 | 0.171 | − 0.338 | 1 | |
CMA | − 0.133 | 0.286 | 0.215 | − 0.346 | 0.162 | 1 |
5 Empirical results
Panel A (mean excess returns) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
MC_PB | MC_ROE | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.046 | 0.039 | 0.034 | 0.027 | 0.021 | 0.043 | 0.039 | 0.032 | 0.034 | 0.035 |
2 | 0.039 | 0.023 | 0.022 | 0.017 | 0.019 | 0.022 | 0.021 | 0.019 | 0.019 | 0.024 |
3 | 0.020 | 0.020 | 0.014 | 0.017 | 0.016 | 0.018 | 0.016 | 0.017 | 0.016 | 0.021 |
4 | 0.014 | 0.014 | 0.019 | 0.016 | 0.014 | 0.010 | 0.013 | 0.018 | 0.018 | 0.021 |
Big | 0.016 | 0.010 | 0.011 | 0.015 | 0.010 | 0.010 | 0.007 | 0.012 | 0.013 | 0.013 |
MC_TA | MC_TAM | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.042 | 0.037 | 0.029 | 0.040 | 0.039 | 0.038 | 0.039 | 0.037 | 0.030 | 0.022 |
2 | 0.024 | 0.021 | 0.019 | 0.018 | 0.023 | 0.028 | 0.026 | 0.019 | 0.022 | 0.014 |
3 | 0.019 | 0.013 | 0.013 | 0.014 | 0.016 | 0.021 | 0.016 | 0.020 | 0.012 | 0.014 |
4 | 0.014 | 0.017 | 0.019 | 0.015 | 0.018 | 0.019 | 0.013 | 0.018 | 0.013 | 0.019 |
Big | 0.014 | 0.011 | 0.009 | 0.017 | 0.010 | 0.013 | 0.014 | 0.014 | 0.015 | 0.011 |
Panel B (standard deviations) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
MC_PB | MC_ROE | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.106 | 0.101 | 0.093 | 0.083 | 0.087 | 0.109 | 0.164 | 0.095 | 0.090 | 0.091 |
2 | 0.149 | 0.100 | 0.084 | 0.084 | 0.078 | 0.111 | 0.099 | 0.086 | 0.086 | 0.083 |
3 | 0.109 | 0.104 | 0.082 | 0.088 | 0.076 | 0.112 | 0.101 | 0.092 | 0.086 | 0.082 |
4 | 0.116 | 0.097 | 0.108 | 0.089 | 0.067 | 0.110 | 0.100 | 0.089 | 0.084 | 0.069 |
Big | 0.108 | 0.104 | 0.087 | 0.089 | 0.067 | 0.103 | 0.100 | 0.086 | 0.080 | 0.078 |
MC_TA | MC_TAM | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.103 | 0.107 | 0.099 | 0.145 | 0.104 | 0.110 | 0.099 | 0.141 | 0.092 | 0.087 |
2 | 0.099 | 0.094 | 0.088 | 0.085 | 0.096 | 0.112 | 0.093 | 0.088 | 0.088 | 0.085 |
3 | 0.096 | 0.088 | 0.093 | 0.093 | 0.101 | 0.103 | 0.091 | 0.087 | 0.101 | 0.083 |
4 | 0.093 | 0.089 | 0.088 | 0.087 | 0.111 | 0.101 | 0.079 | 0.084 | 0.089 | 0.075 |
Big | 0.082 | 0.074 | 0.080 | 0.086 | 0.094 | 0.092 | 0.104 | 0.089 | 0.082 | 0.077 |
Panel C (T-statistics) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
MC_PB | MC_ROE | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 5.490 | 4.843 | 4.615 | 4.187 | 3.086 | 4.953 | 3.043 | 4.228 | 4.803 | 4.902 |
2 | 3.324 | 2.961 | 3.330 | 2.633 | 3.101 | 2.465 | 2.673 | 2.854 | 2.873 | 3.610 |
3 | 2.347 | 2.436 | 2.159 | 2.508 | 2.742 | 1.991 | 1.987 | 2.299 | 2.405 | 3.241 |
4 | 1.510 | 1.851 | 2.204 | 2.327 | 2.718 | 1.195 | 1.650 | 2.502 | 2.774 | 3.851 |
Big | 1.927 | 1.267 | 1.659 | 2.093 | 1.841 | 1.233 | 0.921 | 1.719 | 2.017 | 2.117 |
MC_TA | MC_TAM | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 5.123 | 4.425 | 3.736 | 3.538 | 4.708 | 4.344 | 4.946 | 3.304 | 4.186 | 3.138 |
2 | 3.022 | 2.800 | 2.755 | 2.701 | 2.982 | 3.187 | 3.474 | 2.719 | 3.189 | 2.076 |
3 | 2.507 | 1.942 | 1.848 | 1.972 | 1.980 | 2.595 | 2.236 | 2.934 | 1.569 | 2.140 |
4 | 1.984 | 2.436 | 2.729 | 2.130 | 2.095 | 2.418 | 2.056 | 2.734 | 1.809 | 3.120 |
Big | 2.165 | 1.859 | 1.388 | 2.453 | 1.346 | 1.748 | 1.759 | 2.067 | 2.390 | 1.752 |
6 Asset pricing results
6.1 Three-factor regression
Panel A (MC_PB | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
a | RM | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.013 | 0.009 | 0.009 | 0.002 | − 0.004 | 1.038 | 1.093 | 1.103 | 1.011 | 1.096 |
2 | 0.001 | − 0.001 | 0.000 | − 0.005 | 0.002 | 0.804 | 1.075 | 0.951 | 1.021 | 1.019 |
3 | − 0.006 | − 0.003 | − 0.003 | 0.001 | 0.003 | 1.118 | 1.199 | 0.920 | 1.139 | 0.979 |
4 | − 0.003 | 0.001 | 0.006 | 0.002 | 0.004 | 1.050 | 0.952 | 1.258 | 1.139 | 0.866 |
Big | 0.003 | 0.000 | 0.002 | 0.002 | 0.001 | 0.994 | 1.106 | 1.024 | 1.139 | 0.911 |
S | L | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.423 | 1.220 | 0.967 | 1.193 | 1.231 | 0.631 | 0.414 | 0.183 | 0.062 | − 0.165 |
2 | 1.464 | 0.772 | 0.795 | 0.893 | 0.629 | 1.433 | 0.427 | 0.282 | 0.148 | − 0.152 |
3 | 0.680 | 0.575 | 0.415 | 0.471 | 0.358 | 0.813 | 0.470 | 0.295 | − 0.064 | − 0.115 |
4 | − 0.184 | − 0.096 | − 0.135 | 0.270 | 0.248 | 1.121 | 0.666 | 0.247 | − 0.064 | − 0.227 |
Big | − 0.361 | − 0.401 | − 0.287 | 0.270 | 0.181 | 0.998 | 0.628 | 0.303 | − 0.064 | − 0.270 |
t(a) | t(RM) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 2.601 | 1.966 | 2.262 | 0.522 | − 1.119 | 15.455 | 17.404 | 19.464 | 21.447 | 21.491 |
2 | 0.135 | − 0.113 | 0.061 | − 1.560 | 0.683 | 6.286 | 16.486 | 18.565 | 21.907 | 22.855 |
3 | − 1.979 | − 0.774 | − 0.763 | 0.156 | 0.984 | 19.763 | 22.420 | 18.153 | 25.087 | 23.376 |
4 | − 0.821 | 0.155 | 1.987 | 0.611 | 1.536 | 19.386 | 16.925 | 21.962 | 23.993 | 21.939 |
Big | 0.928 | − 0.158 | 1.047 | 0.611 | 0.239 | 21.391 | 25.439 | 31.552 | 23.993 | 28.252 |
t(s) | t(l) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 9.517 | 8.727 | 7.670 | 11.378 | 10.844 | 6.230 | 4.366 | 2.147 | 0.874 | − 2.151 |
2 | 5.142 | 5.321 | 6.977 | 8.615 | 6.335 | 7.425 | 4.345 | 3.651 | 2.110 | − 2.259 |
3 | 5.400 | 4.834 | 3.679 | 4.659 | 3.841 | 9.533 | 5.830 | 3.862 | − 0.940 | − 1.820 |
4 | − 1.528 | − 0.769 | − 1.058 | 2.552 | 2.820 | 13.720 | 7.857 | 2.861 | − 0.889 | − 3.813 |
Big | − 3.496 | − 4.147 | − 3.978 | 2.552 | 2.527 | 14.238 | 9.581 | 6.192 | − 0.889 | − 5.559 |
Panel B MC_ROE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
a | RM | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.006 | 0.007 | 0.004 | 0.007 | 0.008 | 1.076 | 0.776 | 0.998 | 1.037 | 1.108 |
2 | − 0.006 | − 0.003 | − 0.001 | − 0.002 | 0.005 | 1.091 | 1.051 | 1.011 | 1.073 | 1.037 |
3 | − 0.007 | − 0.002 | 0.000 | − 0.001 | 0.008 | 1.106 | 1.115 | 1.083 | 0.991 | 1.028 |
4 | − 0.009 | − 0.002 | 0.007 | 0.009 | 0.010 | 1.150 | 0.996 | 0.957 | 0.953 | 0.903 |
Big | − 0.003 | − 0.005 | 0.002 | 0.003 | 0.005 | 1.136 | 1.123 | 1.027 | 1.013 | 1.006 |
S | L | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.667 | 1.189 | 1.094 | 1.175 | 1.351 | 0.617 | 1.251 | 0.457 | 0.210 | − 0.110 |
2 | 0.858 | 0.669 | 0.658 | 0.925 | 0.629 | 0.808 | 0.562 | 0.183 | − 0.068 | 0.006 |
3 | 0.618 | 0.232 | 0.294 | 0.421 | 0.197 | 0.764 | 0.451 | 0.244 | 0.270 | − 0.004 |
4 | 0.214 | − 0.043 | − 0.163 | − 0.099 | 0.300 | 0.611 | 0.680 | 0.360 | 0.130 | − 0.200 |
Big | − 0.222 | − 0.220 | − 0.158 | − 0.018 | − 0.003 | 0.516 | 0.469 | 0.220 | − 0.028 | − 0.209 |
t(a) | t(RM) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.997 | 0.566 | 0.979 | 1.831 | 1.916 | 16.349 | 4.765 | 16.617 | 18.954 | 19.143 |
2 | − 1.330 | − 0.620 | − 0.151 | − 0.660 | 1.491 | 16.180 | 18.117 | 19.342 | 20.701 | 20.755 |
3 | − 1.476 | − 0.405 | 0.051 | − 0.308 | 2.597 | 16.007 | 18.809 | 21.125 | 19.774 | 23.729 |
4 | − 1.775 | − 0.416 | 1.968 | 2.433 | 3.518 | 17.190 | 17.404 | 18.116 | 18.402 | 23.898 |
Big | − 0.739 | − 1.501 | 0.622 | 1.103 | 1.628 | 23.714 | 25.233 | 27.717 | 25.631 | 25.179 |
t(s) | t(l) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 11.381 | 3.279 | 8.188 | 9.654 | 10.493 | 6.217 | 5.091 | 5.051 | 2.547 | − 1.257 |
2 | 5.718 | 5.185 | 5.659 | 8.019 | 5.660 | 7.949 | 6.428 | 2.322 | − 0.872 | 0.084 |
3 | 4.018 | 1.758 | 2.575 | 3.778 | 2.039 | 7.330 | 5.050 | 3.161 | 3.566 | − 0.057 |
4 | 1.436 | − 0.338 | − 1.390 | − 0.862 | 3.572 | 6.051 | 7.871 | 4.519 | 1.669 | − 3.509 |
Big | − 2.080 | − 2.220 | − 1.915 | − 0.202 | − 0.039 | 7.136 | 6.984 | 3.938 | − 0.476 | − 3.473 |
Panel C MC_TA | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
a | RM | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.009 | 0.005 | 0.001 | 0.009 | 0.006 | 1.051 | 1.143 | 1.071 | 0.788 | 1.108 |
2 | 0.000 | − 0.001 | − 0.003 | 0.000 | 0.000 | 1.080 | 1.048 | 0.969 | 0.929 | 1.086 |
3 | − 0.004 | − 0.004 | − 0.004 | 0.000 | − 0.004 | 1.099 | 0.978 | 1.139 | 1.119 | 1.093 |
4 | 0.000 | 0.004 | 0.006 | 0.002 | 0.005 | 1.049 | 1.016 | 0.988 | 0.984 | 1.282 |
Big | 0.003 | 0.002 | 0.000 | 0.009 | − 0.001 | 0.971 | 0.830 | 1.004 | 1.031 | 1.181 |
S | L | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.629 | 1.314 | 1.073 | 1.274 | 1.448 | 0.262 | 0.536 | 0.458 | 0.920 | 0.371 |
2 | 0.700 | 0.704 | 0.667 | 0.449 | 0.793 | 0.556 | 0.345 | 0.448 | 0.403 | 0.270 |
3 | 0.653 | 0.385 | 0.349 | 0.164 | 0.494 | 0.478 | 0.345 | 0.226 | 0.200 | 0.306 |
4 | 0.179 | 0.005 | 0.027 | − 0.009 | − 0.011 | 0.195 | 0.314 | 0.333 | 0.339 | 0.078 |
Big | 0.052 | − 0.131 | − 0.120 | − 0.304 | − 0.042 | 0.135 | 0.282 | 0.070 | 0.151 | 0.018 |
t(a) | t(RM) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 2.029 | 1.103 | 0.285 | 1.975 | 1.997 | 16.214 | 18.425 | 17.937 | 5.504 | 16.419 |
2 | − 0.101 | − 0.311 | − 0.711 | 0.017 | − 0.090 | 19.564 | 17.682 | 19.469 | 17.775 | 17.412 |
3 | − 1.107 | − 1.012 | − 1.250 | − 0.086 | − 0.760 | 22.238 | 18.320 | 25.376 | 22.580 | 15.654 |
4 | 0.055 | 1.279 | 1.978 | 0.669 | 1.000 | 17.536 | 20.961 | 20.534 | 22.067 | 18.501 |
Big | 0.775 | 0.734 | − 0.145 | 3.479 | − 0.417 | 21.513 | 22.036 | 32.640 | 28.766 | 26.228 |
t(s) | t(l) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 10.303 | 9.518 | 8.074 | 4.002 | 9.649 | 2.529 | 5.724 | 5.086 | 4.264 | 3.641 |
2 | 5.698 | 5.337 | 6.021 | 3.863 | 5.717 | 6.676 | 3.860 | 5.969 | 5.109 | 2.870 |
3 | 5.939 | 3.239 | 3.495 | 1.490 | 3.180 | 6.419 | 4.283 | 3.337 | 2.677 | 2.908 |
4 | 1.346 | 0.048 | 0.248 | − 0.088 | − 0.074 | 2.162 | 4.299 | 4.589 | 5.038 | 0.748 |
Big | 0.516 | − 1.569 | − 1.750 | − 3.814 | − 0.419 | 1.978 | 4.961 | 1.518 | 2.800 | 0.270 |
Panel D MC_TAM | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
a | RM | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.003 | 0.013 | 0.002 | 0.003 | − 0.001 | 1.291 | 0.851 | 0.819 | 0.957 | 0.897 |
2 | 0.001 | 0.002 | 0.001 | 0.000 | − 0.002 | 1.192 | 1.015 | 0.973 | 0.923 | 0.933 |
3 | − 0.006 | − 0.001 | 0.005 | − 0.004 | 0.002 | 1.224 | 1.040 | 1.046 | 1.124 | 0.904 |
4 | 0.001 | − 0.001 | 0.006 | 0.003 | 0.007 | 1.187 | 0.834 | 0.906 | 0.907 | 0.914 |
Big | 0.004 | 0.002 | 0.002 | 0.007 | 0.001 | 0.987 | 1.307 | 1.083 | 0.965 | 1.000 |
S | L | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.615 | 0.901 | 1.457 | 1.164 | 0.867 | 0.125 | 0.662 | 0.988 | 0.355 | 0.387 |
2 | 0.831 | 0.811 | 0.443 | 0.757 | 0.289 | 0.579 | 0.431 | 0.317 | 0.449 | 0.327 |
3 | 1.053 | 0.392 | 0.305 | 0.132 | 0.031 | 0.185 | 0.269 | 0.076 | 0.405 | 0.393 |
4 | 0.399 | 0.176 | 0.090 | − 0.261 | 0.178 | 0.202 | 0.371 | 0.295 | 0.529 | 0.003 |
Big | − 0.171 | − 0.043 | 0.039 | − 0.231 | 0.030 | 0.133 | 0.004 | 0.098 | 0.177 | − 0.130 |
t(a) | t(RM) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.700 | 2.456 | 0.241 | 0.731 | − 0.333 | 19.444 | 11.308 | 6.202 | 15.261 | 14.943 |
2 | 0.238 | 0.425 | 0.263 | − 0.053 | − 0.408 | 17.029 | 17.696 | 17.117 | 16.392 | 17.245 |
3 | − 1.294 | − 0.377 | 1.372 | − 0.856 | 0.453 | 19.507 | 19.014 | 19.696 | 19.405 | 19.013 |
4 | 0.173 | − 0.199 | 1.975 | 0.804 | 2.158 | 19.411 | 16.829 | 16.299 | 19.323 | 19.951 |
Big | 0.861 | 0.537 | 0.718 | 2.725 | 0.499 | 15.506 | 26.744 | 23.671 | 26.202 | 28.262 |
t(s) | t(l) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 10.930 | 5.377 | 4.962 | 8.346 | 6.495 | 1.250 | 5.831 | 4.962 | 3.751 | 4.275 |
2 | 5.335 | 6.351 | 3.503 | 6.041 | 2.400 | 5.484 | 4.979 | 3.701 | 5.285 | 4.004 |
3 | 7.542 | 3.218 | 2.580 | 1.025 | 0.294 | 1.955 | 3.261 | 0.950 | 4.638 | 5.478 |
4 | 2.935 | 1.593 | 0.729 | − 2.495 | 1.749 | 2.191 | 4.967 | 3.519 | 7.470 | 0.046 |
Big | − 1.207 | − 0.394 | 0.386 | − 2.813 | 0.379 | 1.389 | 0.061 | 1.427 | 3.185 | − 2.429 |
Panel E R2 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
MC_PB | MC_ROE | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.733 | 0.741 | 0.749 | 0.785 | 0.768 | 0.757 | 0.342 | 0.733 | 0.754 | 0.732 |
2 | 0.510 | 0.716 | 0.750 | 0.793 | 0.782 | 0.755 | 0.769 | 0.751 | 0.755 | 0.760 |
3 | 0.819 | 0.823 | 0.745 | 0.820 | 0.795 | 0.743 | 0.771 | 0.791 | 0.771 | 0.811 |
4 | 0.854 | 0.776 | 0.812 | 0.810 | 0.768 | 0.754 | 0.782 | 0.767 | 0.747 | 0.797 |
Big | 0.876 | 0.884 | 0.908 | 0.810 | 0.847 | 0.856 | 0.868 | 0.876 | 0.839 | 0.825 |
MC_TA | MC_TAM | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.734 | 0.774 | 0.756 | 0.346 | 0.719 | 0.756 | 0.612 | 0.415 | 0.691 | 0.682 |
2 | 0.792 | 0.734 | 0.785 | 0.750 | 0.718 | 0.740 | 0.747 | 0.722 | 0.726 | 0.730 |
3 | 0.824 | 0.752 | 0.842 | 0.811 | 0.678 | 0.753 | 0.756 | 0.752 | 0.780 | 0.783 |
4 | 0.721 | 0.803 | 0.798 | 0.822 | 0.737 | 0.755 | 0.735 | 0.710 | 0.813 | 0.753 |
Big | 0.795 | 0.826 | 0.900 | 0.884 | 0.847 | 0.680 | 0.852 | 0.822 | 0.864 | 0.858 |
6.2 Five-factor regressions (without human asset investment)
Panel A MC_PB | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
a | b | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.010 | 0.011 | 0.012 | 0.003 | − 0.002 | 1.063 | 1.076 | 1.100 | 0.993 | 1.087 |
2 | 0.010 | 0.004 | 0.002 | − 0.004 | 0.005 | 0.657 | 1.050 | 0.949 | 0.990 | 0.988 |
3 | − 0.004 | 0.000 | − 0.001 | 0.002 | 0.003 | 1.122 | 1.176 | 0.908 | 1.104 | 0.962 |
4 | − 0.002 | 0.003 | 0.012 | 0.005 | 0.006 | 1.042 | 0.936 | 1.184 | 1.109 | 0.838 |
Big | 0.004 | 0.001 | 0.003 | 0.008 | 0.003 | 0.991 | 1.081 | 1.023 | 1.104 | 0.893 |
S | L | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.417 | 1.232 | 0.925 | 1.216 | 1.200 | 0.921 | 0.254 | − 0.032 | − 0.071 | − 0.408 |
2 | 1.697 | 0.747 | 0.761 | 0.943 | 0.659 | 0.578 | − 0.001 | 0.106 | − 0.018 | − 0.414 |
3 | 0.622 | 0.583 | 0.415 | 0.545 | 0.396 | 0.617 | 0.202 | 0.151 | − 0.184 | − 0.161 |
4 | − 0.178 | − 0.097 | − 0.056 | 0.304 | 0.291 | 1.042 | 0.465 | − 0.350 | − 0.304 | − 0.387 |
Big | − 0.372 | − 0.371 | − 0.290 | − 0.157 | 0.184 | 0.922 | 0.439 | 0.278 | − 0.215 | − 0.484 |
R | T | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.384 | − 0.221 | − 0.241 | − 0.196 | − 0.288 | 0.066 | − 0.086 | 0.179 | − 0.132 | 0.120 |
2 | − 1.343 | − 0.536 | − 0.198 | − 0.266 | − 0.373 | − 1.283 | 0.064 | 0.145 | − 0.273 | − 0.189 |
3 | − 0.201 | − 0.359 | − 0.189 | − 0.228 | − 0.097 | 0.260 | − 0.075 | − 0.023 | − 0.386 | − 0.195 |
4 | − 0.110 | − 0.263 | − 0.857 | − 0.348 | − 0.251 | − 0.044 | − 0.025 | − 0.478 | − 0.207 | − 0.240 |
Big | − 0.089 | − 0.276 | − 0.029 | − 0.230 | − 0.282 | 0.041 | − 0.176 | 0.012 | − 0.142 | − 0.043 |
t(a) | t(RM) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.908 | 2.216 | 2.722 | 0.875 | − 0.414 | 15.406 | 16.546 | 18.995 | 20.395 | 20.935 |
2 | 1.068 | 0.816 | 0.544 | − 1.037 | 1.472 | 5.273 | 15.992 | 18.059 | 20.855 | 21.893 |
3 | − 0.935 | − 0.058 | − 0.341 | 0.492 | 1.076 | 19.494 | 21.491 | 17.326 | 24.189 | 22.307 |
4 | − 0.584 | 0.639 | 3.041 | 1.281 | 2.032 | 18.513 | 16.143 | 21.892 | 22.942 | 20.902 |
Big | 1.108 | 0.433 | 1.099 | 2.724 | 1.157 | 20.565 | 24.309 | 30.323 | 28.350 | 27.447 |
t(s) | t(l) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 9.281 | 8.562 | 7.217 | 11.290 | 10.436 | 5.204 | 1.523 | − 0.216 | − 0.569 | − 3.063 |
2 | 6.155 | 5.143 | 6.547 | 8.973 | 6.600 | 1.807 | − 0.006 | 0.786 | − 0.148 | − 3.580 |
3 | 4.882 | 4.814 | 3.580 | 5.390 | 4.145 | 4.178 | 1.436 | 1.124 | − 1.572 | − 1.454 |
4 | − 1.425 | − 0.755 | − 0.467 | 2.845 | 3.280 | 7.215 | 3.124 | − 2.522 | − 2.456 | − 3.759 |
Big | − 3.483 | − 3.772 | − 3.889 | − 1.821 | 2.555 | 7.455 | 3.851 | 3.215 | − 2.151 | − 5.798 |
t(r) | t(T) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.958 | − 1.195 | − 1.466 | − 1.418 | − 1.949 | 0.368 | − 0.509 | 1.182 | − 1.042 | 0.884 |
2 | − 3.793 | − 2.872 | − 1.323 | − 1.969 | − 2.905 | − 3.948 | 0.376 | 1.058 | − 2.208 | − 1.609 |
3 | − 1.228 | − 2.306 | − 1.267 | − 1.757 | − 0.788 | 1.735 | − 0.524 | − 0.168 | − 3.244 | − 1.737 |
4 | − 0.689 | − 1.595 | − 5.574 | − 2.535 | − 2.201 | − 0.301 | − 0.163 | − 3.391 | − 1.640 | − 2.291 |
Big | − 0.649 | − 2.183 | − 0.306 | − 2.082 | − 3.049 | 0.324 | − 1.518 | 0.139 | − 1.402 | − 0.512 |
Panel B MC_ROE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
a | RM | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.008 | 0.019 | 0.005 | 0.004 | 0.005 | 1.088 | 0.558 | 0.995 | 1.040 | 1.126 |
2 | − 0.003 | 0.001 | 0.002 | − 0.003 | 0.003 | 1.084 | 1.027 | 1.010 | 1.051 | 1.042 |
3 | − 0.001 | 0.005 | 0.000 | − 0.003 | 0.007 | 1.068 | 1.062 | 1.072 | 0.975 | 1.022 |
4 | − 0.001 | 0.002 | 0.010 | 0.009 | 0.010 | 1.104 | 0.944 | 0.933 | 0.956 | 0.893 |
Big | 0.003 | 0.000 | 0.005 | 0.005 | 0.003 | 1.107 | 1.093 | 1.000 | 0.980 | 1.002 |
S | L | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.589 | 1.528 | 1.093 | 1.234 | 1.364 | 0.433 | − 0.035 | 0.418 | 0.505 | 0.179 |
2 | 0.796 | 0.655 | 0.611 | 0.991 | 0.659 | 0.452 | 0.204 | − 0.028 | − 0.061 | 0.201 |
3 | 0.598 | 0.234 | 0.320 | 0.507 | 0.238 | 0.190 | − 0.208 | 0.214 | 0.429 | 0.093 |
4 | 0.177 | 0.023 | − 0.152 | − 0.111 | 0.312 | − 0.132 | 0.297 | 0.111 | 0.126 | − 0.274 |
Big | − 0.259 | − 0.229 | − 0.150 | 0.034 | 0.037 | − 0.007 | 0.050 | − 0.075 | − 0.228 | − 0.079 |
R | T | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | − 0.165 | − 2.009 | − 0.051 | 0.328 | 0.365 | 0.363 | − 1.874 | − 0.001 | − 0.254 | − 0.024 |
2 | − 0.407 | − 0.455 | − 0.231 | − 0.055 | 0.226 | 0.258 | 0.019 | 0.203 | − 0.330 | − 0.120 |
3 | − 0.732 | − 0.863 | − 0.065 | 0.127 | 0.087 | 0.019 | − 0.102 | − 0.133 | − 0.404 | − 0.193 |
4 | − 0.936 | − 0.564 | − 0.337 | 0.006 | − 0.108 | 0.077 | − 0.382 | − 0.092 | 0.057 | − 0.067 |
Big | − 0.648 | − 0.539 | − 0.394 | − 0.311 | 0.131 | 0.111 | − 0.013 | − 0.081 | − 0.285 | − 0.182 |
t(a) | t(RM) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.980 | 1.718 | 1.019 | 1.025 | 1.159 | 16.267 | 3.609 | 15.935 | 18.960 | 19.054 |
2 | − 0.546 | 0.260 | 0.430 | − 0.681 | 0.891 | 15.948 | 17.504 | 18.997 | 19.864 | 20.367 |
3 | − 0.284 | 1.228 | 0.120 | − 0.790 | 2.175 | 15.628 | 18.865 | 20.157 | 19.533 | 23.010 |
4 | − 0.189 | 0.512 | 2.494 | 2.326 | 3.611 | 17.494 | 16.547 | 17.247 | 17.768 | 22.802 |
Big | 0.874 | − 0.155 | 1.740 | 1.767 | 1.109 | 24.559 | 25.196 | 27.147 | 24.667 | 24.622 |
t(s) | t(l) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 10.731 | 4.464 | 7.909 | 10.165 | 10.425 | 2.525 | − 0.088 | 2.610 | 3.587 | 1.181 |
2 | 5.293 | 5.045 | 5.195 | 8.465 | 5.815 | 2.590 | 1.356 | − 0.206 | − 0.450 | 1.528 |
3 | 3.955 | 1.875 | 2.715 | 4.588 | 2.422 | 1.083 | − 1.438 | 1.566 | 3.354 | 0.821 |
4 | 1.271 | 0.179 | − 1.269 | − 0.931 | 3.594 | − 0.818 | 2.028 | 0.796 | 0.912 | − 2.729 |
Big | − 2.591 | − 2.385 | − 1.836 | 0.384 | 0.407 | − 0.061 | 0.447 | − 0.795 | − 2.238 | − 0.760 |
t(r) | t(T) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | − 0.868 | − 4.569 | − 0.285 | 2.106 | 2.173 | 2.082 | − 4.645 | − 0.007 | − 1.772 | − 0.154 |
2 | − 2.106 | − 2.727 | − 1.527 | − 0.364 | 1.550 | 1.456 | 0.124 | 1.467 | − 2.393 | − 0.899 |
3 | − 3.767 | − 5.395 | − 0.430 | 0.893 | 0.691 | 0.108 | − 0.692 | − 0.960 | − 3.100 | − 1.668 |
4 | − 5.220 | − 3.480 | − 2.191 | 0.036 | − 0.970 | 0.469 | − 2.569 | − 0.650 | 0.409 | − 0.655 |
Big | − 5.055 | − 4.372 | − 3.756 | − 2.752 | 1.133 | 0.942 | − 0.117 | − 0.848 | − 2.751 | − 1.716 |
Panel C MC_TA | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
a | RM | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.010 | 0.006 | 0.002 | 0.018 | 0.005 | 1.098 | 1.156 | 1.074 | 0.592 | 1.089 |
2 | 0.001 | 0.002 | 0.001 | 0.002 | 0.001 | 1.082 | 1.038 | 0.950 | 0.917 | 1.022 |
3 | − 0.001 | − 0.002 | − 0.003 | 0.001 | − 0.003 | 1.110 | 0.996 | 1.124 | 1.097 | 1.012 |
4 | 0.004 | 0.008 | 0.007 | 0.003 | 0.011 | 1.036 | 1.002 | 0.986 | 0.963 | 1.189 |
Big | 0.007 | 0.004 | 0.001 | 0.008 | 0.003 | 0.968 | 0.829 | 0.996 | 1.020 | 1.109 |
S | L | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.438 | 1.246 | 1.055 | 1.638 | 1.528 | 0.214 | 0.402 | 0.415 | 0.028 | 0.479 |
2 | 0.654 | 0.662 | 0.652 | 0.449 | 0.933 | 0.383 | 0.034 | 0.150 | 0.253 | 0.070 |
3 | 0.553 | 0.297 | 0.378 | 0.201 | 0.712 | 0.188 | 0.194 | 0.166 | 0.075 | 0.235 |
4 | 0.143 | − 0.022 | 0.003 | 0.031 | 0.120 | − 0.137 | 0.014 | 0.205 | 0.238 | − 0.532 |
Big | − 0.029 | − 0.164 | − 0.122 | − 0.254 | 0.066 | − 0.245 | 0.128 | − 0.037 | 0.232 | − 0.422 |
R | T | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | − 0.187 | − 0.109 | − 0.038 | − 1.517 | 0.065 | 0.716 | 0.322 | 0.083 | − 1.940 | − 0.383 |
2 | − 0.182 | − 0.366 | − 0.376 | − 0.196 | − 0.396 | 0.207 | 0.169 | 0.031 | − 0.020 | − 0.724 |
3 | − 0.283 | − 0.113 | − 0.106 | − 0.199 | − 0.304 | 0.460 | 0.416 | − 0.155 | − 0.199 | − 1.101 |
4 | − 0.399 | − 0.366 | − 0.145 | − 0.170 | − 0.925 | 0.134 | 0.096 | 0.098 | − 0.214 | − 0.742 |
Big | − 0.419 | − 0.169 | − 0.139 | 0.057 | − 0.681 | 0.350 | 0.142 | − 0.003 | − 0.238 | − 0.603 |
t(a) | t(RM) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 2.316 | 1.385 | 0.373 | 1.803 | 1.014 | 18.752 | 18.242 | 17.314 | 4.406 | 15.812 |
2 | 0.350 | 0.441 | 0.146 | 0.407 | 0.329 | 19.149 | 17.292 | 18.852 | 16.965 | 16.805 |
3 | − 0.236 | − 0.569 | − 1.024 | 0.250 | − 0.727 | 23.439 | 18.659 | 24.216 | 21.480 | 15.793 |
4 | 0.836 | 2.131 | 2.035 | 0.935 | 2.314 | 17.092 | 20.515 | 19.855 | 20.993 | 18.111 |
Big | 2.110 | 1.291 | 0.342 | 3.054 | 1.014 | 22.806 | 21.628 | 31.404 | 28.133 | 27.144 |
t(s) | t(l) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 11.095 | 8.881 | 7.684 | 5.504 | 10.026 | 1.428 | 2.471 | 2.610 | 0.082 | 2.710 |
2 | 5.227 | 4.978 | 5.846 | 3.753 | 6.928 | 2.641 | 0.221 | 1.158 | 1.822 | 0.446 |
3 | 5.271 | 2.516 | 3.683 | 1.775 | 5.022 | 1.548 | 1.416 | 1.397 | 0.570 | 1.429 |
4 | 1.067 | − 0.207 | 0.031 | 0.308 | 0.826 | − 0.879 | 0.111 | 1.609 | 2.025 | − 3.161 |
Big | − 0.307 | − 1.937 | − 1.740 | − 3.167 | 0.734 | − 2.253 | 1.307 | − 0.461 | 2.493 | − 4.027 |
t(r) | t(T) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | − 1.126 | − 0.605 | − 0.218 | − 3.970 | 0.330 | 4.690 | 1.950 | 0.516 | − 5.531 | − 2.134 |
2 | − 1.130 | − 2.142 | − 2.623 | − 1.275 | − 2.292 | 1.401 | 1.078 | 0.235 | − 0.143 | − 4.562 |
3 | − 2.100 | − 0.744 | − 0.804 | − 1.371 | − 1.667 | 3.724 | 2.986 | − 1.279 | − 1.493 | − 6.585 |
4 | − 2.315 | − 2.638 | − 1.028 | − 1.306 | − 4.957 | 0.849 | 0.750 | 0.754 | − 1.788 | − 4.330 |
Big | − 3.471 | − 1.548 | − 1.539 | 0.554 | − 5.859 | 3.158 | 1.423 | − 0.039 | − 2.519 | − 5.657 |
Panel D MC_TAM | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
a | RM | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.003 | 0.014 | 0.009 | 0.004 | − 0.004 | 1.317 | 0.845 | 0.673 | 0.962 | 0.934 |
2 | 0.005 | 0.006 | 0.002 | − 0.001 | − 0.001 | 1.170 | 0.989 | 0.982 | 0.938 | 0.935 |
3 | − 0.003 | 0.001 | 0.008 | − 0.002 | 0.002 | 1.212 | 1.037 | 1.031 | 1.085 | 0.901 |
4 | 0.005 | 0.000 | 0.007 | 0.004 | 0.007 | 1.158 | 0.837 | 0.867 | 0.891 | 0.923 |
Big | 0.009 | 0.005 | 0.003 | 0.008 | 0.003 | 0.947 | 1.264 | 1.069 | 0.956 | 0.985 |
S | L | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.544 | 0.900 | 1.717 | 1.135 | 0.817 | 0.152 | 0.581 | 0.277 | 0.294 | 0.643 |
2 | 0.814 | 0.798 | 0.399 | 0.741 | 0.269 | 0.234 | 0.047 | 0.238 | 0.570 | 0.264 |
3 | 1.031 | 0.348 | 0.298 | 0.221 | 0.021 | − 0.070 | 0.035 | − 0.141 | 0.286 | 0.324 |
4 | 0.388 | 0.149 | 0.168 | − 0.245 | 0.160 | − 0.224 | 0.296 | 0.143 | 0.392 | 0.035 |
Big | − 0.166 | 0.018 | 0.060 | − 0.231 | 0.028 | − 0.345 | − 0.281 | 0.009 | 0.064 | − 0.325 |
R | T | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.104 | − 0.105 | − 1.180 | − 0.051 | 0.383 | 0.357 | − 0.005 | − 1.397 | 0.140 | 0.285 |
2 | − 0.435 | − 0.490 | − 0.062 | 0.174 | − 0.063 | 0.033 | 0.009 | 0.207 | 0.096 | 0.091 |
3 | − 0.312 | − 0.264 | − 0.278 | − 0.241 | − 0.081 | 0.074 | 0.183 | 0.002 | − 0.458 | 0.039 |
4 | − 0.546 | − 0.072 | − 0.273 | − 0.193 | 0.060 | 0.000 | 0.124 | − 0.410 | − 0.095 | 0.098 |
Big | − 0.630 | − 0.432 | − 0.137 | − 0.147 | − 0.254 | − 0.092 | − 0.342 | − 0.116 | − 0.011 | − 0.017 |
t(a) | t(RM) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.637 | 2.478 | 0.981 | 0.837 | − 0.896 | 19.324 | 10.802 | 5.219 | 14.804 | 15.251 |
2 | 0.914 | 1.357 | 0.457 | − 0.338 | − 0.223 | 16.360 | 17.119 | 16.745 | 16.075 | 16.655 |
3 | − 0.680 | 0.241 | 1.880 | − 0.579 | 0.632 | 18.807 | 18.607 | 18.885 | 18.519 | 18.273 |
4 | 1.151 | 0.026 | 1.731 | 1.158 | 1.964 | 18.841 | 16.329 | 15.398 | 18.368 | 19.411 |
Big | 1.907 | 1.329 | 0.943 | 3.020 | 1.250 | 14.882 | 25.835 | 22.560 | 25.124 | 27.341 |
t(s) | t(l) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 10.232 | 5.194 | 6.015 | 7.886 | 6.028 | 0.871 | 2.895 | 0.837 | 1.762 | 4.093 |
2 | 5.146 | 6.241 | 3.078 | 5.738 | 2.164 | 1.274 | 0.317 | 1.580 | 3.807 | 1.832 |
3 | 7.232 | 2.826 | 2.469 | 1.702 | 0.195 | − 0.423 | 0.247 | − 1.007 | 1.906 | 2.558 |
4 | 2.850 | 1.310 | 1.349 | − 2.286 | 1.516 | − 1.422 | 2.252 | 0.992 | 3.153 | 0.291 |
Big | − 1.177 | 0.163 | 0.572 | − 2.747 | 0.349 | − 2.112 | − 2.241 | 0.071 | 0.657 | − 3.519 |
t(r) | t(T) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.535 | − 0.470 | − 3.218 | − 0.275 | 2.201 | 2.008 | − 0.027 | − 4.151 | 0.825 | 1.785 |
2 | − 2.142 | − 2.981 | − 0.372 | 1.047 | − 0.394 | 0.175 | 0.059 | 1.354 | 0.628 | 0.621 |
3 | − 1.704 | − 1.667 | − 1.789 | − 1.446 | − 0.575 | 0.440 | 1.262 | 0.016 | − 2.999 | 0.306 |
4 | − 3.125 | − 0.494 | − 1.708 | − 1.399 | 0.446 | − 0.002 | 0.928 | − 2.794 | − 0.749 | 0.794 |
Big | − 3.483 | − 3.105 | − 1.021 | − 1.355 | − 2.478 | − 0.557 | − 2.680 | − 0.940 | − 0.115 | − 0.184 |
Panel E R2 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
MC_PB | MC_ROE | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.740 | 0.744 | 0.762 | 0.789 | 0.777 | 0.768 | 0.452 | 0.733 | 0.771 | 0.741 |
2 | 0.571 | 0.734 | 0.757 | 0.801 | 0.794 | 0.770 | 0.782 | 0.762 | 0.764 | 0.768 |
3 | 0.827 | 0.829 | 0.747 | 0.832 | 0.799 | 0.768 | 0.810 | 0.792 | 0.790 | 0.817 |
4 | 0.854 | 0.780 | 0.845 | 0.818 | 0.778 | 0.798 | 0.800 | 0.774 | 0.747 | 0.799 |
Big | 0.876 | 0.888 | 0.908 | 0.881 | 0.856 | 0.882 | 0.884 | 0.886 | 0.850 | 0.832 |
MC_TA | MC_TAM | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.800 | 0.782 | 0.757 | 0.467 | 0.730 | 0.763 | 0.613 | 0.484 | 0.693 | 0.694 |
2 | 0.799 | 0.748 | 0.797 | 0.753 | 0.753 | 0.749 | 0.763 | 0.727 | 0.728 | 0.732 |
3 | 0.851 | 0.771 | 0.845 | 0.815 | 0.750 | 0.759 | 0.766 | 0.757 | 0.792 | 0.784 |
4 | 0.736 | 0.816 | 0.802 | 0.827 | 0.782 | 0.771 | 0.738 | 0.725 | 0.815 | 0.754 |
Big | 0.833 | 0.834 | 0.902 | 0.890 | 0.884 | 0.705 | 0.863 | 0.824 | 0.865 | 0.863 |
6.3 Modified five-factor regressions (with human asset investment)
Panel A MC_PB | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
a | b | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.007 | 0.009 | 0.011 | 0.002 | − 0.001 | 0.950 | 1.017 | 1.034 | 0.971 | 1.093 |
2 | 0.010 | 0.003 | 0.001 | − 0.004 | 0.004 | 0.833 | 0.987 | 0.886 | 1.017 | 0.977 |
3 | − 0.004 | − 0.001 | − 0.001 | 0.001 | 0.003 | 1.099 | 1.145 | 0.930 | 1.123 | 0.957 |
4 | − 0.003 | 0.002 | 0.010 | 0.003 | 0.005 | 1.021 | 0.896 | 1.145 | 1.062 | 0.814 |
Big | 0.004 | 0.001 | 0.003 | 0.007 | 0.002 | 0.984 | 1.097 | 1.014 | 1.100 | 0.883 |
S | L | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.157 | 1.047 | 0.828 | 1.109 | 1.262 | 1.128 | 0.402 | 0.045 | 0.014 | − 0.458 |
2 | 1.634 | 0.613 | 0.660 | 0.902 | 0.557 | 0.629 | 0.106 | 0.186 | 0.015 | − 0.333 |
3 | 0.666 | 0.475 | 0.463 | 0.439 | 0.304 | 0.582 | 0.287 | 0.114 | − 0.100 | − 0.088 |
4 | − 0.248 | − 0.208 | − 0.345 | 0.103 | 0.133 | 1.098 | 0.553 | − 0.120 | − 0.144 | − 0.261 |
Big | − 0.374 | − 0.400 | − 0.308 | − 0.223 | 0.140 | 0.924 | 0.462 | 0.293 | − 0.162 | − 0.449 |
R | h | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.641 | − 0.012 | − 0.175 | − 0.060 | − 0.375 | 0.665 | 0.410 | 0.320 | 0.197 | − 0.095 |
2 | − 1.033 | − 0.409 | − 0.120 | − 0.171 | − 0.231 | − 0.458 | 0.358 | 0.315 | − 0.031 | 0.158 |
3 | − 0.296 | − 0.233 | − 0.233 | − 0.045 | 0.036 | 0.017 | 0.227 | − 0.126 | 0.073 | 0.130 |
4 | − 0.029 | − 0.143 | − 0.466 | − 0.100 | − 0.041 | 0.151 | 0.258 | 0.475 | 0.391 | 0.271 |
Big | − 0.095 | − 0.213 | − 0.013 | − 0.134 | − 0.228 | 0.025 | − 0.014 | 0.049 | 0.094 | 0.087 |
t(a) | t(RM) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.543 | 1.924 | 2.535 | 0.635 | − 0.284 | 13.802 | 15.171 | 17.172 | 19.059 | 19.974 |
2 | 1.006 | 0.582 | 0.314 | − 1.089 | 1.221 | 6.094 | 14.510 | 16.288 | 20.033 | 20.538 |
3 | − 0.854 | − 0.280 | − 0.235 | 0.251 | 0.842 | 17.952 | 20.050 | 16.908 | 22.639 | 20.965 |
4 | − 0.724 | 0.423 | 2.464 | 0.839 | 1.608 | 17.293 | 14.842 | 20.224 | 21.469 | 19.427 |
Big | 1.093 | 0.371 | 1.032 | 2.522 | 1.004 | 19.383 | 23.261 | 28.576 | 26.745 | 25.836 |
t(s) | t(l) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 7.459 | 6.935 | 6.107 | 9.664 | 10.241 | 6.505 | 2.380 | 0.294 | 0.109 | − 3.322 |
2 | 5.309 | 3.999 | 5.385 | 7.892 | 5.195 | 1.826 | 0.618 | 1.359 | 0.114 | − 2.777 |
3 | 4.832 | 3.693 | 3.734 | 3.928 | 2.958 | 3.774 | 1.997 | 0.819 | − 0.797 | − 0.764 |
4 | − 1.867 | − 1.529 | − 2.705 | 0.924 | 1.408 | 7.382 | 3.635 | − 0.840 | − 1.157 | − 2.471 |
Big | − 3.268 | − 3.766 | − 3.857 | − 2.411 | 1.815 | 7.221 | 3.891 | 3.272 | − 1.563 | − 5.214 |
t(r) | t(h) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 3.450 | − 0.067 | − 1.079 | − 0.438 | − 2.540 | 4.217 | 2.670 | 2.320 | 1.684 | − 0.759 |
2 | − 2.800 | − 2.227 | − 0.820 | − 1.250 | − 1.795 | − 1.461 | 2.295 | 2.529 | − 0.269 | 1.453 |
3 | − 1.792 | − 1.509 | − 1.571 | − 0.334 | 0.289 | 0.122 | 1.731 | − 1.000 | 0.645 | 1.240 |
4 | − 0.179 | − 0.878 | − 3.051 | − 0.751 | − 0.365 | 1.115 | 1.865 | 3.657 | 3.449 | 2.821 |
Big | − 0.690 | − 1.669 | − 0.137 | − 1.211 | − 2.470 | 0.211 | − 0.129 | 0.607 | 0.994 | 1.114 |
Panel B MC_ROE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
a | b | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.007 | 0.017 | 0.004 | 0.003 | 0.004 | 1.013 | 0.727 | 0.964 | 1.030 | 1.082 |
2 | − 0.003 | 0.000 | 0.002 | − 0.003 | 0.003 | 1.041 | 0.983 | 0.982 | 1.095 | 1.065 |
3 | − 0.003 | 0.004 | 0.000 | − 0.003 | 0.005 | 0.979 | 1.043 | 1.054 | 1.016 | 0.966 |
4 | − 0.002 | 0.001 | 0.009 | 0.008 | 0.010 | 1.049 | 0.938 | 0.917 | 0.915 | 0.873 |
Big | 0.002 | − 0.001 | 0.005 | 0.004 | 0.003 | 1.073 | 1.076 | 1.018 | 0.983 | 0.996 |
S | L | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.542 | 1.212 | 1.014 | 1.108 | 1.241 | 0.471 | 0.218 | 0.481 | 0.606 | 0.277 |
2 | 0.791 | 0.549 | 0.622 | 0.972 | 0.668 | 0.455 | 0.289 | − 0.036 | − 0.046 | 0.193 |
3 | 0.379 | 0.145 | 0.222 | 0.451 | 0.020 | 0.364 | − 0.137 | 0.292 | 0.474 | 0.267 |
4 | 0.068 | − 0.143 | − 0.228 | − 0.194 | 0.234 | − 0.045 | 0.429 | 0.171 | 0.192 | − 0.213 |
Big | − 0.301 | − 0.277 | − 0.138 | − 0.071 | − 0.051 | 0.027 | 0.088 | − 0.084 | − 0.144 | − 0.010 |
R | h | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | − 0.185 | − 1.324 | 0.032 | 0.508 | 0.497 | 0.288 | − 0.124 | 0.193 | 0.187 | 0.288 |
2 | − 0.451 | − 0.349 | − 0.280 | 0.028 | 0.238 | 0.135 | 0.268 | 0.072 | − 0.112 | − 0.081 |
3 | − 0.509 | − 0.752 | 0.062 | 0.261 | 0.350 | 0.541 | 0.168 | 0.175 | − 0.057 | 0.438 |
4 | − 0.837 | − 0.320 | − 0.240 | 0.080 | − 0.015 | 0.304 | 0.221 | 0.142 | 0.228 | 0.156 |
Big | − 0.625 | − 0.487 | − 0.390 | − 0.148 | 0.256 | 0.156 | 0.110 | − 0.067 | 0.119 | 0.125 |
t(a) | t(b) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.502 | 1.430 | 0.872 | 0.772 | 0.928 | 14.323 | 4.186 | 14.738 | 17.767 | 17.609 |
2 | − 0.565 | 0.050 | 0.431 | − 0.681 | 0.917 | 14.486 | 16.084 | 17.441 | 19.352 | 19.736 |
3 | − 0.674 | 1.052 | − 0.081 | − 0.853 | 1.698 | 14.103 | 17.653 | 18.884 | 18.775 | 21.662 |
4 | − 0.397 | 0.203 | 2.332 | 2.153 | 3.398 | 15.977 | 15.427 | 16.143 | 16.296 | 21.330 |
Big | 0.754 | − 0.280 | 1.776 | 1.458 | 0.873 | 22.691 | 23.645 | 26.214 | 23.062 | 23.150 |
t(s) | t(l) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 9.679 | 3.097 | 6.881 | 8.484 | 8.969 | 2.643 | 0.498 | 2.921 | 4.146 | 1.789 |
2 | 4.886 | 3.990 | 4.901 | 7.630 | 5.501 | 2.514 | 1.876 | − 0.257 | − 0.322 | 1.419 |
3 | 2.426 | 1.087 | 1.762 | 3.702 | 0.199 | 2.080 | − 0.919 | 2.074 | 3.477 | 2.374 |
4 | 0.458 | − 1.044 | − 1.785 | − 1.531 | 2.539 | − 0.273 | 2.797 | 1.197 | 1.355 | − 2.061 |
Big | − 2.826 | − 2.700 | − 1.579 | − 0.741 | − 0.521 | 0.223 | 0.764 | − 0.862 | − 1.345 | − 0.091 |
t(r) | t(h) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | − 0.971 | − 2.821 | 0.181 | 3.243 | 2.997 | 1.779 | − 0.311 | 1.285 | 1.404 | 2.044 |
2 | − 2.323 | − 2.113 | − 1.844 | 0.181 | 1.636 | 0.820 | 1.912 | 0.555 | − 0.861 | − 0.654 |
3 | − 2.715 | − 4.714 | 0.409 | 1.788 | 2.903 | 3.399 | 1.241 | 1.365 | − 0.459 | 4.281 |
4 | − 4.726 | − 1.948 | − 1.566 | 0.529 | − 0.137 | 2.018 | 1.582 | 1.092 | 1.774 | 1.666 |
Big | − 4.895 | − 3.964 | − 3.721 | − 1.284 | 2.204 | 1.439 | 1.052 | − 0.755 | 1.220 | 1.270 |
Panel C MC_TA | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
a | b | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.009 | 0.005 | 0.001 | 0.017 | 0.003 | 0.968 | 1.034 | 1.007 | 0.829 | 1.056 |
2 | 0.001 | 0.001 | 0.000 | 0.001 | 0.001 | 1.025 | 0.991 | 0.940 | 0.912 | 1.087 |
3 | − 0.001 | − 0.002 | − 0.004 | 0.000 | − 0.005 | 1.039 | 0.935 | 1.126 | 1.064 | 1.096 |
4 | 0.003 | 0.007 | 0.007 | 0.003 | 0.008 | 0.986 | 0.951 | 0.955 | 0.978 | 1.148 |
Big | 0.007 | 0.005 | 0.001 | 0.007 | 0.001 | 0.934 | 0.856 | 0.991 | 1.005 | 1.105 |
S | L | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.393 | 1.063 | 0.918 | 1.467 | 1.292 | 0.249 | 0.547 | 0.524 | 0.166 | 0.667 |
2 | 0.590 | 0.608 | 0.639 | 0.428 | 0.809 | 0.434 | 0.077 | 0.160 | 0.269 | 0.169 |
3 | 0.555 | 0.306 | 0.322 | 0.039 | 0.487 | 0.186 | 0.187 | 0.212 | 0.203 | 0.415 |
4 | 0.069 | − 0.115 | − 0.037 | − 0.015 | − 0.280 | − 0.078 | 0.087 | 0.237 | 0.275 | − 0.214 |
Big | 0.023 | − 0.038 | − 0.135 | − 0.387 | − 0.185 | − 0.287 | 0.028 | − 0.027 | 0.338 | − 0.222 |
R | h | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | − 0.278 | 0.019 | 0.087 | − 0.970 | 0.383 | 0.450 | 0.598 | 0.372 | − 0.508 | 0.393 |
2 | − 0.155 | − 0.342 | − 0.368 | − 0.171 | − 0.130 | 0.254 | 0.211 | 0.047 | 0.041 | − 0.043 |
3 | − 0.373 | − 0.201 | − 0.018 | 0.006 | 0.139 | 0.213 | 0.177 | 0.065 | 0.298 | 0.023 |
4 | − 0.348 | − 0.289 | − 0.122 | − 0.082 | − 0.369 | 0.243 | 0.270 | 0.144 | 0.010 | 0.620 |
Big | − 0.540 | − 0.327 | − 0.124 | 0.240 | − 0.305 | 0.040 | − 0.240 | 0.031 | 0.210 | 0.324 |
t(a) | t(b) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 2.086 | 1.066 | 0.116 | 1.572 | 0.641 | 15.137 | 16.100 | 15.723 | 5.385 | 14.610 |
2 | 0.204 | 0.325 | 0.112 | 0.363 | 0.135 | 17.303 | 15.719 | 17.718 | 16.027 | 15.933 |
3 | − 0.262 | − 0.568 | − 1.140 | − 0.098 | − 0.930 | 20.169 | 16.257 | 22.939 | 20.032 | 14.357 |
4 | 0.688 | 1.925 | 1.928 | 0.827 | 1.633 | 15.551 | 18.772 | 18.313 | 20.050 | 16.423 |
Big | 2.138 | 1.672 | 0.293 | 2.641 | 0.344 | 20.259 | 21.547 | 29.695 | 26.274 | 24.082 |
t(s) | t(l) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 9.668 | 7.349 | 6.364 | 4.232 | 7.934 | 1.547 | 3.380 | 3.247 | 0.428 | 3.664 |
2 | 4.421 | 4.282 | 5.345 | 3.341 | 5.264 | 2.907 | 0.482 | 1.199 | 1.878 | 0.984 |
3 | 4.782 | 2.362 | 2.908 | 0.327 | 2.834 | 1.432 | 1.290 | 1.712 | 1.517 | 2.157 |
4 | 0.485 | − 1.005 | − 0.314 | − 0.133 | − 1.781 | − 0.489 | 0.683 | 1.802 | 2.237 | − 1.213 |
Big | 0.224 | − 0.421 | − 1.803 | − 4.493 | − 1.792 | − 2.472 | 0.278 | − 0.319 | 3.504 | − 1.918 |
t(r) | t(h) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | − 1.609 | 0.108 | 0.503 | − 2.334 | 1.961 | 3.068 | 4.063 | 2.533 | − 1.440 | 2.371 |
2 | − 0.967 | − 2.012 | − 2.568 | − 1.110 | − 0.703 | 1.872 | 1.458 | 0.388 | 0.313 | − 0.273 |
3 | − 2.682 | − 1.296 | − 0.133 | 0.042 | 0.676 | 1.808 | 1.346 | 0.574 | 2.444 | 0.131 |
4 | − 2.034 | − 2.113 | − 0.868 | − 0.622 | − 1.956 | 1.674 | 2.323 | 1.206 | 0.086 | 3.870 |
Big | − 4.336 | − 3.046 | − 1.379 | 2.326 | − 2.463 | 0.376 | − 2.634 | 0.405 | 2.391 | 3.086 |
Panel D MC_TAM | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
a | b | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.000 | 0.011 | 0.010 | 0.005 | − 0.002 | 1.138 | 0.691 | 0.912 | 1.002 | 1.006 |
2 | 0.002 | 0.005 | 0.002 | 0.000 | − 0.001 | 1.027 | 0.944 | 0.954 | 0.969 | 0.938 |
3 | − 0.006 | 0.001 | 0.007 | − 0.003 | 0.002 | 1.079 | 0.995 | 0.995 | 1.142 | 0.905 |
4 | 0.003 | 0.000 | 0.006 | 0.004 | 0.008 | 1.077 | 0.796 | 0.873 | 0.912 | 0.976 |
Big | 0.007 | 0.003 | 0.002 | 0.009 | 0.004 | 0.864 | 1.212 | 1.048 | 0.969 | 1.011 |
S | L | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 1.229 | 0.504 | 1.769 | 1.292 | 1.114 | 0.402 | 0.895 | 0.237 | 0.169 | 0.407 |
2 | 0.464 | 0.686 | 0.412 | 0.858 | 0.314 | 0.512 | 0.136 | 0.227 | 0.478 | 0.228 |
3 | 0.724 | 0.316 | 0.207 | 0.184 | 0.046 | 0.174 | 0.061 | − 0.068 | 0.316 | 0.304 |
4 | 0.181 | 0.094 | 0.019 | − 0.228 | 0.333 | − 0.060 | 0.339 | 0.262 | 0.379 | − 0.103 |
Big | − 0.416 | − 0.250 | − 0.039 | − 0.205 | 0.087 | − 0.146 | − 0.068 | 0.087 | 0.043 | − 0.372 |
R | h | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.361 | 0.305 | − 0.967 | − 0.240 | 0.022 | 0.934 | 0.958 | − 0.791 | − 0.316 | − 0.585 |
2 | − 0.079 | − 0.375 | − 0.115 | 0.035 | − 0.127 | 0.867 | 0.278 | 0.067 | − 0.237 | − 0.067 |
3 | − 0.009 | − 0.265 | − 0.183 | − 0.115 | − 0.114 | 0.781 | 0.167 | 0.223 | − 0.129 | − 0.041 |
4 | − 0.332 | − 0.039 | − 0.041 | − 0.193 | − 0.138 | 0.501 | 0.191 | 0.166 | − 0.087 | − 0.375 |
Big | − 0.354 | − 0.090 | − 0.013 | − 0.172 | − 0.312 | 0.564 | 0.488 | 0.185 | − 0.070 | − 0.152 |
t(a) | t(b) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.092 | 2.066 | 1.032 | 1.112 | − 0.372 | 17.528 | 9.182 | 6.493 | 14.802 | 16.266 |
2 | 0.380 | 1.141 | 0.463 | − 0.116 | − 0.137 | 14.907 | 15.710 | 15.380 | 15.890 | 15.869 |
3 | − 1.340 | 0.159 | 1.693 | − 0.599 | 0.682 | 17.380 | 16.959 | 17.466 | 18.046 | 17.422 |
4 | 0.791 | − 0.107 | 1.422 | 1.201 | 2.443 | 17.291 | 14.824 | 14.429 | 17.864 | 20.151 |
Big | 1.519 | 0.750 | 0.714 | 3.091 | 1.448 | 13.468 | 24.320 | 21.128 | 24.206 | 26.912 |
t(s) | t(l) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 8.407 | 2.976 | 5.592 | 8.473 | 7.997 | 2.457 | 4.721 | 0.669 | 0.990 | 2.613 |
2 | 2.991 | 5.069 | 2.951 | 6.245 | 2.359 | 2.949 | 0.902 | 1.452 | 3.109 | 1.529 |
3 | 5.177 | 2.389 | 1.612 | 1.291 | 0.392 | 1.112 | 0.414 | − 0.476 | 1.982 | 2.324 |
4 | 1.292 | 0.779 | 0.142 | − 1.984 | 3.055 | − 0.383 | 2.507 | 1.719 | 2.943 | − 0.841 |
Big | − 2.883 | − 2.227 | − 0.350 | − 2.274 | 1.029 | − 0.904 | − 0.543 | 0.700 | 0.427 | − 3.934 |
t(r) | t(h) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 2.059 | 1.502 | − 2.550 | − 1.315 | 0.130 | 6.278 | 5.552 | − 2.457 | − 2.035 | − 4.129 |
2 | − 0.426 | − 2.312 | − 0.687 | 0.213 | − 0.796 | 5.487 | 2.017 | 0.470 | − 1.696 | − 0.493 |
3 | − 0.051 | − 1.673 | − 1.192 | − 0.675 | − 0.810 | 5.489 | 1.241 | 1.712 | − 0.889 | − 0.345 |
4 | − 1.976 | − 0.271 | − 0.251 | − 1.396 | − 1.057 | 3.513 | 1.555 | 1.199 | − 0.742 | − 3.381 |
Big | − 2.042 | − 0.666 | − 0.095 | − 1.591 | − 3.074 | 3.841 | 4.268 | 1.631 | − 0.761 | − 1.768 |
Panel E R2 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
MC_PB | MC_ROE | |||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.766 | 0.755 | 0.768 | 0.791 | 0.777 | 0.767 | 0.376 | 0.736 | 0.770 | 0.748 |
2 | 0.535 | 0.742 | 0.765 | 0.795 | 0.794 | 0.768 | 0.787 | 0.759 | 0.756 | 0.767 |
3 | 0.824 | 0.832 | 0.749 | 0.821 | 0.797 | 0.784 | 0.811 | 0.794 | 0.777 | 0.833 |
4 | 0.855 | 0.785 | 0.847 | 0.828 | 0.782 | 0.803 | 0.795 | 0.775 | 0.752 | 0.802 |
Big | 0.876 | 0.886 | 0.908 | 0.880 | 0.857 | 0.883 | 0.885 | 0.886 | 0.844 | 0.830 |
MC_TA | MC_TAM | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Small | 0.785 | 0.798 | 0.766 | 0.370 | 0.732 | 0.806 | 0.677 | 0.448 | 0.699 | 0.719 |
2 | 0.801 | 0.750 | 0.797 | 0.753 | 0.719 | 0.790 | 0.769 | 0.724 | 0.732 | 0.732 |
3 | 0.841 | 0.761 | 0.843 | 0.819 | 0.680 | 0.798 | 0.766 | 0.762 | 0.781 | 0.784 |
4 | 0.740 | 0.821 | 0.803 | 0.823 | 0.777 | 0.788 | 0.740 | 0.714 | 0.815 | 0.770 |
Big | 0.822 | 0.839 | 0.902 | 0.890 | 0.868 | 0.730 | 0.872 | 0.826 | 0.866 | 0.866 |
Model | No of significant intercepts | R-Square (%) | ||||||
---|---|---|---|---|---|---|---|---|
MC_PB | MC_ROE | MC_TA | MC_TAM | MC_PB | MC_ROE | MC_TA | MC_TAM | |
3 Factor | 5 | 5 | 5 | 4 | 78.7 | 76.4 | 76.6 | 73.9 |
5 Factor | 5 | 5 | 6 | 4 | 79.9 | 78.2 | 78.9 | 74.9 |
5 Factor (Human Asset) | 2 | 3 | 3 | 3 | 80.1 | 77.9 | 78 | 75.9 |
7 Residual graphs
7.1 Model performance test
Fama–French three-factor | GRS F-statistics | p value | Average absolute alpha value | Average R2 (%) |
---|---|---|---|---|
MC_PB* | 1.754 | 0.026 | 0.003 | 78.7 |
MC_ROE* | 2.303 | 0.001 | 0.004 | 76.4 |
MC_TA* | 1.673 | 0.045 | 0.003 | 76.6 |
MC_TAM | 1.227 | 0.228 | 0.003 | 73.9 |
Fama–French five-factor | ||||
MC_PB* | 1.640 | 0.039 | 0.004 | 79.9 |
MC_ROE* | 1.766 | 0.021 | 0.004 | 78.2 |
MC_TA* | 1.594 | 0.050 | 0.004 | 78.9 |
MC_TAM | 1.475 | 0.084 | 0.004 | 74.9 |
Modified five-factor with human asset | ||||
MC_PB | 1.514 | 0.054 | 0.004 | 80.1 |
MC_ROE | 1.532 | 0.052 | 0.004 | 77.9 |
MC_TA* | 1.589 | 0.050 | 0.004 | 78 |
MC_TAM | 1.497 | 0.076 | 0.004 | 75.9 |