FAMA FRENCH 3 FACTORS AND VSTOXX | ||||||||
| a | b | SMBt | HMLt | VSTOXX | R² |
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STOXX EUROPE | −0.0151* | 0.4989*** | −0.4600*** | 0.9510*** | −0.0389*** | 0.52 |
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FAMA FRENCH 5 FACTORS AND VSTOXX | ||||||||
| a | b | SMBt | HMLt | RMWt | CMAt | VSTOXX | R² |
STOXX EUROPE | −0.00290* | 0.5278*** | −0.3794*** | 1.4238*** | 1.3867*** | 0.3668*** | −0.0432*** | 0.55 |