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

Table 3

Univariate distributional tests.

Factor	Skewness	-value		Kurtosis	-value
		H0: normal	H0: t		H0: normal	H0: t
MKT	−0.24	0.14	0.81	4.00	<0.01	0.99
SMB	−0.39	0.02	0.70	5.90	<0.01	0.81
HML	−0.21	0.18	0.83	8.56	<0.01	0.54
RMW	−0.54	<0.01	0.60	7.05	<0.01	0.68
RMWCP	−0.53	<0.01	0.60	7.04	<0.01	0.68
CMA	0.16	0.32	0.87	4.84	<0.01	0.93
ME	−0.50	<0.01	0.63	7.70	<0.01	0.62
IA	0.32	0.05	0.75	4.41	<0.01	0.97
ROE	0.08	0.63	0.94	5.10	<0.01	0.91
SMB-CH	0.06	0.71	0.95	5.06	<0.01	0.91
VMG	0.20	0.21	0.84	4.42	<0.01	0.97
PMO	−0.82	<0.01	0.45	9.87	<0.01	0.45
UMD	−0.02	0.91	0.98	4.41	<0.01	0.97
ILLIQ	−0.34	0.04	0.73	8.99	<0.01	0.51