Table 7 Factor expression in different states.

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

 

GRS

PGRS

Avg. |α|

Avg. |t|

Sh2(f)

GDP

     

Worst15%

     

 Three Factor

2.350

0.075

0.739

0.993

0.111

 Four Factor

2.007

0.131

0.651

0.858

0.277

 Six Factor

1.823

0.195

0.432

0.814

0.310

Middle70%

     

 Three Factor

2.278

0.004

0.539

1.116

0.302

 Four Factor

2.083

0.010

0.626

1.327

0.365

 Six Factor

1.592

0.072

0.386

1.146

0.492

Best15%

     

 Three Factor

1.223

0.375

1.666

1.099

1.152

 Four Factor

1.198

0.397

2.473

1.499

1.736

 Six Factor

1.145

0.444

1.176

0.818

2.627

SH-index

     

Worst15%

     

 Three Factor

0.806

0.670

0.943

1.036

1.695

 Four Factor

3.119

0.035

0.988

1.168

1.850

 Six Factor

2.414

0.102

0.757

1.100

2.444

Middle70%

     

 Three Factor

3.641

0.000

0.479

1.171

0.162

 Four Factor

3.201

0.000

0.534

1.279

0.317

 Six Factor

2.809

0.000

0.377

1.147

0.443

Best15%

     

 Three Factor

2.425

0.068

1.324

0.805

1.036

 Four Factor

2.068

0.121

1.381

0.925

1.185

 Six Factor

2.049

0.151

1.060

0.752

1.442

  1. In this table, GRS statistics, P-value of GRS, Avg. |α|, Avg. |t| and of three-, four- and our six-factor models are displayed in different GDP and SH-index state-dependents. The three factors are Mkt, SMB, and VMG. The four factors are three factors plus PMO. The six factors are four factors plus SCL(1,3) and SCL(1,12). Samples are from Jan 2002 to June 2020.
Back to article page