Research Article
Taming the Factor Zoo: New Evidence from China
Table 6
Spanning regression. This table reports results of regressing FF6 factors, q5 factors, SY4 factors, and DHS-3 factors on LSY4 factors. MKT, SMB, VMG, and PMO are market, size, value, and turnover factors in the Liu–Stambaugh–Yuan 4-factor model [15]. HML, RMW, CMA, and UMD are value, profitability, investment, and momentum factors in the Fama–French 6-factor model [10]. , , , and are size, investment, profitability, and expected growth factor in the Hou–Xue–Zhang q5-factor model [2]. MGMT and PERF are two mispricing factors in the Stambaugh–Yuan 4-factor model [21]. PEAD and FIN are two long-short horizon factors in the Daniel–Hirshleifer–Sun 3-factor model [22]. For each factor, we report its coefficient estimate and corresponding t-statistic (given in parentheses). R2 is adjusted R-squared of each regression, and D-W Stat. is corresponding Durbin–Watson statistic of each regression.
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