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The following table is taken from Fama-French Five Factor Model paper: Intercept RM-RF SMB HML RMW CMA Ra RM-RF 9.8% (4.94) 24% 0.25 (4.45) -0.40
The following table is taken from Fama-French Five Factor Model paper: Intercept RM-RF SMB HML RMW CMA Ra RM-RF 9.8% (4.94) 24% 0.25 (4.45) -0.40 (-4.84) 0.03 (037) 0.05 (0.81) -0.91 47.82) 017 (-1.92) SMB 18% 4.6% (322) 0.13 (4.45) -0.48 (-8.42) HML 52% 023 (5.39) -0.5% (-0.46) 52% (5.44) 0.01 (0.37) -0.09 1-4.84) 1.04 (23.04) -0.44 1785) RMW 0.02 (081) -0.22 (-8.42) -0.04 (-1.92) 22% 0.20 (5.39) 0.45 (23.04) 57% 3.3% (503) -0.10 1782) -0.21 1-785) Which factor is redundant (i.e., explained by all other factors)? The profitability factor The value factor The size factor The market factor The investment factor The following table is taken from Fama-French Five Factor Model paper: Intercept RM-RF SMB HML RMW CMA Ra RM-RF 9.8% (4.94) 24% 0.25 (4.45) -0.40 (-4.84) 0.03 (037) 0.05 (0.81) -0.91 47.82) 017 (-1.92) SMB 18% 4.6% (322) 0.13 (4.45) -0.48 (-8.42) HML 52% 023 (5.39) -0.5% (-0.46) 52% (5.44) 0.01 (0.37) -0.09 1-4.84) 1.04 (23.04) -0.44 1785) RMW 0.02 (081) -0.22 (-8.42) -0.04 (-1.92) 22% 0.20 (5.39) 0.45 (23.04) 57% 3.3% (503) -0.10 1782) -0.21 1-785) Which factor is redundant (i.e., explained by all other factors)? The profitability factor The value factor The size factor The market factor The investment factor
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