Complexity / 2020 / Article / Tab 1

Research Article

Multilayer Network Risk Factor Pricing Model

Table 1

Descriptive statistical results of four factors.

FactorMeanStd.Min.Max.ADF

RMRF0.01090.0891−0.26850.2950−10.417
SMB0.00360.0563−0.20930.1653−10.393
HML−0.00290.0428−0.27750.1474−15.209
F0.01690.1000−0.27380.3412−10.539

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

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