Comparing Asset Pricing Factor Models under Multivariate t-Distribution: Evidence from China

Table 1

Models and factors.

Models	Factors	References
Q	MKT, ME, IA, ROE	Hou et al. [28]
FF5	MKT, SMB, HML, CMA, RMW	Fama and French [15]
FF5CP	MKT, SMB, HML, CMA, RMWCP	Fama and French [29]
FF6	MKT, SMB, HML, CMA, RMW, UMD	Fama and French [29]
FF6CP	MKT, SMB, HML, CMA, RMWCP, UMD	Fama and French [29]
CH3	MKT, SMB-CH, VMG,	Liu et al. [4]
CH3 + PMO	MKT, SMB-CH, VMG, PMO	Liu et al. [4]