FAMA FRENCH 3 FACTORS

a

b

SMB_t

HML_t

R²

STOXX EUROPE

−0.0005**

0.650***

−0.541***

0.937***

0.50

FAMA FRENCH 5 FACTORS

a

b

SMB_t

HML_t

RMW_t

CMA_t

R²

STOXX EUROPE

−0.018*

0.697***

−0.472***

1.367***

1.302***

0.394***

0.53