FAMA FRENCH 3 FACTORS

a

b

SMB_t

HML_t

R²

STOXX EUROPE

−0.0037**

0.689***

−0.453***

0.771***

0.54

FAMA FRENCH 5 FACTORS

a

b

SMB_t

HML_t

RMW_t

CMA_t

R²

STOXX EUROPE

−0.0183*

0.709***

−0.419***

1.212***

1.103***

0.139*

0.56