Table 3 Spanning regression results of factors.
From: A factor pricing model based on double moving average strategy
Alpha | Mkt | SMB | VMG | PMO | SCL (1,3) | SCL (1,12) | R2 | |
|---|---|---|---|---|---|---|---|---|
Mkt | 1.765 | −0.308 | −0.717 | −0.855 | 0.120 | 0.436 | 0.214 | |
T value | 3.352 | −1.990 | −4.353 | −5.246 | 0.636 | 2.323 | ||
SMB | 1.112 | −0.059 | −0.747 | −0.036 | 0.020 | 0.541 | 0.578 | |
T value | 4.990 | −1.990 | −13.600 | −0.481 | 0.242 | 7.302 | ||
VMG | 1.119 | −0.113 | −0.618 | 0.000 | −0.066 | 0.439 | 0.513 | |
T value | 5.590 | −4.353 | −13.600 | −0.007 | −0.890 | 6.351 | ||
PMO | 0.652 | −0.132 | −0.029 | 0.000 | 0.328 | −0.048 | 0.235 | |
T value | 3.141 | −5.246 | −0.481 | −0.007 | 4.638 | −0.644 | ||
SCL (1,3) | 0.415 | 0.016 | 0.014 | −0.055 | 0.276 | 0.660 | 0.614 | |
T value | 2.155 | 0.636 | 0.242 | −0.890 | 4.638 | 12.762 | ||
SCL (1,12) | −0.602 | 0.056 | 0.366 | 0.358 | −0.040 | 0.651 | 0.668 | |
T value | −3.184 | 2.323 | 7.302 | 6.351 | −0.644 | 12.762 |
