Table 6: The results of the estimations of different predictive regressions for the dynamics of the SMB factor. AIC is the Akaike Information Criterion. The values are given in brackets. Bold text indicates values that are statistically significant at the 5% level.

Regression Adjusted AIC

(3) 0.25 (0.02)
(4) 0.07 (0.54)2.23 (0.00) 0.033 5252
(5) −0.06 (0.60) 2.09 (0.00) 0.16 (0.00) 0.091 5190
(6) 0.75 (0.00)2.24 (0.00) −0.04 (0.20)0.32 (0.00) 0.132 5145
(7) −0.08 (0.53)1.87 (0.00)0.57 (0.02) 1.41 (0.10) 0.041 5245
(8) 0.79 (0.00) 1.66 (0.00) −0.03 (0.39) 0.32 (0.00) 0.25 (0.30) 2.24 (0.01) 0.140 5138
(9) 0.73 (0.00) 1.75 (0.00) 0.08 (0.05) 0.27 (0.00) 0.18 (0.44) 2.22 (0.01) 0.10 (0.01) 0.145 5133
(10) 0.45 (0.01) 1.72 (0.00) 0.01 (0.84) 0.18 (0.00) −0.47 (0.16) 2.39 (0.00) −0.06 (0.35) 0.25 (0.00) 0.151 5126
(12) 0.07 (0.54) 1.73 (0.00) 1.98 (0.02) 0.037 5248