Table 6 Factor performance based on market anomaly.

From: A factor pricing model based on double moving average strategy

 

GRS

PGRS

Avg. |α|

Avg. |t|

Sh2(f)

Full samples

     

 Three Factor

2.581

0.001

0.526

1.370

0.190

 Four Factor

2.049

0.009

0.544

1.408

0.264

 FF5 Factor

2.266

0.003

0.737

1.897

0.170

 Six Factor

1.652

0.051

0.274

1.017

0.323

Sub-samples1(2002.1–2011.3)

     

 Three Factor

1.661

0.062

0.594

0.987

0.293

 Four Factor

1.690

0.056

0.909

1.487

0.439

 FF5 Factor

1.244

0.245

0.770

1.354

0.203

 Six Factor

1.656

0.063

0.490

1.121

0.489

Sub-samples2 (2011.4–2020.6)

     

 Three Factor

2.106

0.011

0.567

1.341

0.129

 Four Factor

1.954

0.021

0.499

1.280

0.154

 FF5 Factor

2.666

0.001

0.749

1.607

0.138

 Six Factor

1.457

0.126

0.225

0.769

0.246

  1. In this table, GRS statistic, P-value of GRS, Avg. |α|, Avg. |t|, and of three-, four-, and our six-factor models are displayed. The three factors are Mkt, SMB, and VMG. The four factors are three factors plus PMO. FF5 Factor refers to Fama-French (2015)’s five-factor model. The six factors are four factors plus SCL(1, 3) and SCL(1, 12). Samples are from Jan 2002 to June 2020.
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