Portfolio | Coefficients | p-value of Coefficients | Model | |||||||
α | β | h | s | pα | pβ | ph | ps | R2 | p-value | |
SL | 0.0037 | 0.1008 | 0.0630 | 0.3263 | 0.340 | 0.109 | 0.567 | 0.026 | 0.065 | 0.167 |
SM | 0.0020 | 0.2562 | 0.5553 | 0.2272 | 0.653 | 0.001 | 0.000 | 0.177 | 0.337 | 0.000 |
SH | 0.0005 | 0.1424 | 0.7280 | 0.1438 | 0.902 | 0.043 | 0.000 | 0.370 | 0.382 | 0.000 |
BL | 0.0018 | 0.1968 | −0.1134 | −0.8036 | 0.642 | 0.002 | 0.301 | 0.000 | 0.628 | 0.000 |
BM | −0.0005 | 0.1472 | 0.2379 | −0.8781 | 0.927 | 0.084 | 0.112 | 0.000 | 0.521 | 0.000 |
BH | 0.0050 | 0.1553 | 1.2217 | −0.6210 | 0.208 | 0.016 | 0.000 | 0.000 | 0.788 | 0.000 |