Multilayer Network Risk Factor Pricing Model

Table 1

Descriptive statistical results of four factors.

Factor	Mean	Std.	Min.	Max.	ADF
RMRF	0.0109	0.0891	−0.2685	0.2950	−10.417
SMB	0.0036	0.0563	−0.2093	0.1653	−10.393
HML	−0.0029	0.0428	−0.2775	0.1474	−15.209
F	0.0169	0.1000	−0.2738	0.3412	−10.539

Significance at the 1% level. ADF is the augmented Dickey–Fuller unit root test statistic.