| CAPM |
| FF3FM |
| PCAPM | |||||
|
|
|
|
|
|
|
|
|
|
|
M01 | −0.0339 | 1.1647 |
| −0.0227 | 1.1900 | 0.4060 | 0.0815 |
| −0.0213 | −0.0204 |
| 0.0000 | 0.0000 |
| 0.0009 | 0.0000 | 0.0000 | 0.3773 |
| 0.115 | 0.795 |
M02 | −0.0114 | 1.0287 |
| −0.0028 | 1.0547 | 0.1174 | 0.1017 |
| −0.0001 | 0.0189 |
| 0.0336 | 0.0000 |
| 0.6435 | 0.0000 | 0.0073 | 0.0623 |
| 0.990 | 0.794 |
M03 | −0.0004 | 0.9533 |
| 0.0006 | 0.9840 | 0.0030 | 0.0951 |
| 0.0070 | 0.0484 |
| 0.8317 | 0.0000 |
| 0.8248 | 0.0000 | 0.9036 | 0.0170 |
| 0.415 | 0.493 |
M04 | 0.0000 | 0.9280 |
| 0.0036 | 0.9624 | −0.0263 | 0.0963 |
| 0.0074 | 0.0661 |
| 0.9847 | 0.0000 |
| 0.2880 | 0.0000 | 0.1719 | 0.0067 |
| 0.297 | 0.349 |
M05 | −0.0015 | 0.9093 |
| −0.0010 | 0.9387 | −0.0316 | 0.0774 |
| 0.0041 | 0.0690 |
| 0.5717 | 0.0000 |
| 0.7123 | 0.0000 | 0.1226 | 0.0112 |
| 0.538 | 0.354 |
M06 | 0.0021 | 0.9145 |
| 0.0016 | 0.9466 | −0.0167 | 0.0971 |
| 0.0065 | 0.0864 |
| 0.3123 | 0.0000 |
| 0.5835 | 0.0000 | 0.3415 | 0.0035 |
| 0.345 | 0.253 |
M07 | 0.0007 | 0.9431 |
| −0.0021 | 0.9685 | −0.0121 | 0.0884 |
| 0.0047 | 0.0965 |
| 0.7575 | 0.0000 |
| 0.4677 | 0.0000 | 0.5555 | 0.0074 |
| 0.564 | 0.216 |
M08 | 0.0105 | 0.9884 |
| 0.0090 | 1.0048 | −0.0133 | 0.0852 |
| 0.0156 | 0.1009 |
| 0.0000 | 0.0000 |
| 0.0019 | 0.0000 | 0.6551 | 0.0194 |
| 0.053 | 0.214 |
M00 | 0.0054 | 1.0626 |
| 0.0011 | 1.0655 | 0.0708 | 0.0244 |
| 0.0105 | 0.0903 |
| 0.1160 | 0.0000 |
| 0.7715 | 0.0000 | 0.0570 | 0.6171 |
| 0.272 | 0.281 |
M10 | 0.0247 | 1.2695 |
| 0.0210 | 1.2226 | 0.3450 | −0.1465 |
| 0.0334 | 0.0193 |
| 0.0000 | 0.0000 |
| 0.0000 | 0.0000 | 0.0000 | 0.1247 |
| 0.006 | 0.850 |
| 89.4 |
| 73.1 |
| 129 | |||||
| 0.0000 |
| 0.0000 |
| 0.0000 |