Taming the Factor Zoo: New Evidence from China

Table 2

Summary statistics of pricing factors. This table shows means, standard deviations, t-statistics, skewness, kurtosis, and Jarque–Bera statistic of each pricing factor and the maximum Sharpe ratio achievable from each factor model. The sample period is from July 2000 to December 2019. The first to last row correspond to the Fama–French 6-factor model [10], the Hou–Xue–Zhang q5-factor model [2], the Stambaugh–Yuan 4-factor model [21], the Daniel–Hirshleifer–Sun 3-factor model [22], and the Liu–Stambaugh–Yuan 4-factor model [15].

Pricing factors		Mean (%)	Std. dev (%)	t value	Skewness	Kurtosis	J-B stat.	Sharpe ratio
FF6	MKT	0.50	8.10	0.94	−0.23	4.06	19.93	1.25
	SMB	0.35	3.78	1.40	−0.29	4.60	28.84
	HML	0.37	4.01	1.43	−0.18	7.02	163.34
	RMW	0.24	3.28	1.11	0.25	5.85	83.45
	CMA	−0.10	2.47	−0.61	0.19	5.48	62.98
	UMD	0.23	4.05	0.86	−0.47	4.38	27.71
Q-5	MKT	0.50	8.10	0.94	−0.23	4.06	19.93	1.72
		0.55	3.39	2.47	−0.21	5.38	58.31
		0.07	2.05	0.49	0.22	3.62	5.83
		0.87	3.25	4.11	0.20	4.34	19.68
		0.18	3.32	0.85	0.07	6.78	143.20
SY-5	MKT	0.50	8.10	0.94	−0.23	4.06	19.93	0.73
	SMB	0.44	4.50	1.50	−0.62	9.35	418.85
	MGMT	0.01	3.06	0.07	0.32	9.89	479.14
	PERF	0.63	4.53	2.12	0.36	4.36	23.72
DHS-3	MKT	0.50	8.10	0.94	−0.23	4.06	19.93	1.23
	PEAD	0.98	3.01	4.97	−0.13	3.46	2.80
	FIN	0.12	2.17	0.84	−0.48	9.42	420.95
LSY4	MKT	0.50	8.10	0.94	−0.23	4.06	19.93	2.16
	SMB	0.52	4.01	2.00	0.06	4.77	20.31
	VMG	1.09	3.29	5.04	0.12	4.45	7.04
	PMO	0.81	3.35	3.68	−0.82	9.78	401.52