RMW
FCF
Adj. R2
Dependent
Variable/Subportfolios
Intercept
MKT
SMB
HML
CMA
P
0.04428
0.04708
-0.81489**
-0.708**
1.10693**
-0.06055
1.34810**
0.4340
S
0.045175
0.083491
-0.70911*
-0.668**
0.97812**
-0.04294
1.34238**
0.3989
B
0.045419
-0.02455
-0.90681*
-0.7218**
1.13589**
-0.1233**
1.3970**
0.4428
S/H
0.04137
0.33675
-0.56
-0.6328*
0.9573*
0.060514
1.1402**
0.3611
S/L
0.043282
-0.01284
-0.76074*
-0.7224**
1.0482**
-0.04712
1.4045**
0.4040
B/H
0.04521
0.059129
-0.92211**
-0.7404**
1.0554**
-0.13156
1.4009**
0.4305
B/L
0.045526
-0.10953
-0.8811*
-0.7013**
1.21448**
-0.11282
1.3857**
0.4441
S/H/C
0.037721
0.410606
-0.73277
-0.7866**
0.885071
0.067593
1.2827**
0.3442
S/H/A
0.046169
0.281077
-0.36047
-0.46699*
1.03615** 0.052059
0.9528**
0.3622
S/L/C
0.037773
-0.18143
-0.71083
-0.7354**
1.20249** 0.028504
1.3767**
0.3844
S/L/A
0.046659
0.098854
-0.8906*
-0.7292**
1.12677**
-0.12849
1.38361**
0.3988
B/H/C
0.057209
0.127206
-0.95563*
-0.7793**
1.00445*
-0.10464
1.4058**
0.4080
B/H/A
0.034584
0.007068
-0.8739*
-0.6952**
1.09637**
-0.16373
1.3855**
0.4214
B/L/C
0.048575
-0.07614
-0.95587*
-0.7773**
1.25822**
-0.0599
1.59166**
0.4416
B/L/A
0.043546
-0.15582
-0.9292**
-0.6625**
1.2044**
-0.18876
1.2999**
0.4443
S/H/C/R
0.05217
0.398205
-0.68297
-0.86111*
0.893459
0.101854
1.37533*
0.3008
S/H/C/W
0.022994
0.466235
-0.76943
-0.68034*
0.845071* 0.003106
1.14978*
0.3331
S/H/A/R
0.052139
0.19595
-0.27226
-0.46316*
1.1122**
0.128693 0.979463*
0.3506
S/H/A/W
0.04571
0.294404
-0.33937
-0.46877*
0.937158
0.004289 0.87135**
0.3032
S/L/C/R
0.042903
0.209012
-0.4974
-0.77139*
1.207067* 0.136834 1.317605*
0.3316
S/L/C/W
0.022514
-0.26668
-0.53231
-0.659
1.108004*
0.09159
1.171513*
0.2757
S/L/A/R
0.051636
0.138659
-0.66973
-0.68264*
1.183793*
-0.15262
1.27582**
0.3358
S/L/A/W
0.04407
0.038339
-1.12756*
-0.7686*
1.071907*
-0.11781
1.49413**
0.3636
B/H/C/R
0.070751
-0.05256
-0.84455*
-0.76339*
1.03342*
-0.09008
1.38318**
0.3504
B/H/C/W
0.051759
0.3595
-0.99505*
-0.8012**
0.952932*
-0.09954
1.35841**
0.3935
B/H/A/R
0.040145
-0.04628
-0.98056*
-0.62397*
1.21318**
-0.29503
1.3916**
0.3901
-0.7603**
0.92979*
-0.04512 1.36952**
0.3820
B/H/A/W
0.030277
0.123008
-0.77523*
B/L/C/R
0.056684
-0.0555
-0.84133*
-0.7097**
1.25422**
-0.10411
1.44260**
0.4080
B/L/C/W
0.042471
-0.09347
-0.99591*
-0.8049**
1.24456**
-0.01168
1.64173**
0.4303
B/L/A/R
0.046382
-0.01261
-0.9595**
-0.6027**
1.01675**
-0.31949
1.08269**
0.4231
B/L/A/W
0.046451
-0.3144
-0.9316*
-0.7482**
1.37217**
-0.1082
1.56892**
0.4393
0.554471
-0.6247
-1.13267*
0.741402
0.22037
1.48647*
0.2373
S/H/C/F/Fh
0.056782
S/H/C/R/Fl
0.047322
0.241324
-0.74304*
-0.59135*
1.06096**
-0.01395
1.26146**
0.3726
S/H/C/W/Fh
0.019497
0.515487
-0.53498
-0.77388*
0.95110
0.122074
1.22582*
0.2998
S/H/C/W/Fl
0.0267653
0.4122240
-1.003510**
-0.57755*
0.736125*
-0.11935
1.06270**
0.3505
S/H/A/R/Fh
0.0504455
-0.165998
-0.706969
-0.68456*
1.12872** 0.006827 1.37581**
0.364
S/H/A/R/Fl
0.053401
0.556057
0.175085
-0.23798
1.091794* 0.255817 0.576278*
0.2738
S/H/A/W/Fh
0.060492
0.317135
0.207361
-0.38326
0.986965* 0.133558 0.785691*
0.2716
S/H/A/W/Fl
0.030473
0.285338
-0.8837*
-0.55366*
0.875416*
-0.12384
0.95564*
0.3179
S/L/C/R/Fh
0.04365
0.523257
-0.29492
-0.72416
1.19559*
0.186117
1.23860*
0.2856
S/L/C/R/Fl
0.044315
-0.10156
-0.81466
-0.85806*
1.24296*
0.064517 1.51503**
0.3267
S/L/C/W/Fh
-0.00128
-0.32855
-0.49296
-0.57608
1.177851
-0.00968
0.2380
1.205626
S/L/C/W/Fl
0.046139
-0.21179
-0.5571
-0.74874*
1.032033
0.198168 1.138372*
0.2964
S/L/A/R/Fh
0.085264
0.369338
-0.74356
-0.57656
1.211741*
-0.18831
0.983371
0.2833
S/L/A/R/FI
0.024264
-0.34905
-0.69896
-0.78084*
1.286499*
-0.19773
1.63866**
0.3299
S/L/A/W/Fh
0.077037
-0.29923
-1.07777*
-0.61271
1.249618*
-0.29172
1.36265**
0.3399
S/L/A/W/Fl
0.01661
0.001765
-1.28379*
-0.9247*
1.068527
-0.02236
1.73062**
0.3440
B/H/C/R/Fh
0.088087
0.232693
-0.58863*
-0.74968
0.985506
0.041651
1.10684
0.2623
B/H/C/R/Fl
0.053809
-0.34036
-1.11338**
-0.7758**
1.083053
-0.22834
1.66764**
0.3979
B/H/C/W/Fh
0.05874
0.289734
-0.90995
-0.82301*
1.001535
-0.08859
1.36736*
0.3191
B/H/C/W/FI
0.043992
0.430753
-1.08684*
-0.78347*
0.901271
-0.10876
1.35822**
0.3463
B/H/A/R/Fh
0.088087
0.232693
-0.58863
-0.74968*
0.985506
0.041651
1.10684
0.2623
B/H/A/R/FI
0.053809
-0.34036
-1.11338**
-0.7758**
1.083053
-0.22834
1.66764**
0.3979
B/H/A/W/Fh
0.088087
0.232693
-0.58863*
-0.74968
0.985506
0.041651
1.10684
0.2623
B/H/A/W/FI
0.053809
-0.34036
-1.11338**
-0.7758**
1.083053
-0.22834
1.66764**
0.3979
B/L/C/R/Fh
0.049379
0.091529
-0.63908
-0.57865
1.26090**
-0.04901
1.15149*
0.3204
B/L/C/R/FI
0.06456
-0.2056
-1.02762*
-0.8442**
1.24809**
-0.16285
1.72967**
0.4073
B/L/C/W/Fh
0.047004
0.055166
-1.03341*
-0.81385*
1.24139*
-0.08183
1.63303**
0.3733
B/L/C/W/FI
0.043095
-0.26205
-0.93716
-0.8049*
1.234833* 0.076664 1.63147**
0.3601
B/L/A/R/Fh
0.05834
0.19406*
-0.89106*
-0.6918*
0.863714
-0.12905
1.11489**
0.3525
B/L/A/R/FI
0.030781
-0.17202
-0.99387*
-0.51893
1.143299*
-0.47512
1.03218**
0.3736
B/L/A/W/Fh
0.060471
0.060471
0.060471
0.06047*
0.060471* 0.060471 0.06047**
0.3623
B/L/A/W/Fl
0.030407
-0.26169
-0.93263
-0.76659*
1.42505**
0.3604
-0.05829
1.62320**
Multivariate Regression: The multivariate regression model has been applied at the
confidence interval of 95% to test the rationality of the model. The interpretation of model have
been briefed in the table above. Regression results oppose the presence of traditional CAPM in
the equity market of Pakistan and is not significant for most of the portfolios.
Interpretation:
VALUE > 0.3 means the value is significant as compare to the supportive variable.
Sign + shows direct or positive relationship with other variable and – shows indirect or
negative relationship.
R squared shows that how much data is away from the regression line or the mean value,
most of the time scattered data is considered to be good for the stats but sometime we need
data to be nearer to the regression line
Exogenous Variables or Independent Variables and there description to support my
Statements in the later part:
MKT: Market value of shares.
SMB: Difference between return on a portfolio of Small companies and big companies
HML: Difference of return on a portfolio of high-book-to-market stocks with portfolio of
low-book-to-market stocks.
CMA: Difference on portfolio on stock with Conservative Investment approach and
portfolio on stock with aggressive Investment approach
RMW: Difference between return on a portfolio of robust profitability stocks and return
on a portfolio of weak profitability stock.
FCF: Difference between return on portfolio with high and low free cash flows.
Endogenous
Variables/Dependent
Portfolios
and
multi-Variant
Regression
with
Exogenous Variables/Independent Portfolios:
P (Population of the Companies):
The variable of P doesn’t shows significant relation with MKT(0.04708) and when it is compared
SMB(-0.81489**) the value is significant but it show indirect relation, same goes with the
HML(-0.708**), with CMA(1.10693**) it shows direct relation and strong, but the relationship
with RMW(-0.06055) is not significant. FCF(1.34810**) and P has significant value with direct
relation. Rsquared(0.4340) shows the data plot with respect to the regression line.
S (Small Companies):
Results do not support the existence of MKT(0.045175) however it vouches for SMB(-0.70911),
HML(-0.608), and CMA(0.97812) as they have adverse and important relationship with
dependent variable S. Therefore, these variable explain the changes in dependent variable. The
regression value for this variable is (0.3989), taken as insignificant.
B (Big Companies):
The dependent variable B and its relationship with SMB, HML, CMA, RMW and FCF are
significant, whereas, SMB, HML and RMW display an adverse relation with values of -0.906, 0.721 and -0.123. On the other hand, FCF and CMA represent a positive relationship with
dependent variable B having 1.3970 and 1.1358 values respectively.
S/H(Small Companies with high-book-to-market ratio):
The variable of S/H doesn't indicates critical connection with MKT( 0.33675) and when it is
looked at SMB(-0.56) the esteem is noteworthy however it show roundabout connection, same
runs with the HML(-0.6328*), with CMA(0.9573*) it demonstrates coordinate connection and
solid, yet the association with RMW(0.060514) isn't huge. FCF(1.1402**) and S/H has critical
incentive with direct connection. Rsquared(0.3611) demonstrates the information plot as for the
relapse line.
S/L(Small Companies with Low-book-to-market ratio):
The variable of S/L doesn't demonstrates huge connection with MKT(-0.01284) and when it is
looked at SMB(-0.76074*) the esteem is noteworthy however it show circuitous connection,
same runs with the HML(-0.7224**), with CMA(1.0482**) it indicates coordinate connection
and solid, yet the association with RMW(-0.04712) isn't huge. FCF(1.4045**) and S/L has huge
incentive with direct connection. Rsquared(0.4040) demonstrates the information plot as for the
relapse line.
B/H(Big Companies with high-book-to-market ratio):
The
variable
of
B/H
doesn’t
shows important relation
with
MKT(0.059129)
and once it's compared SMB(-0.92211**) the worth is critical however it show indirect relation,
same goes with the HML(-0.7404**), with CMA(1.0554**) it shows direct relation and
powerful, however the link with RMW(-0.13156) isn't important. FCF(1.4009**) and B/H
has important price with
with relevance the curve.
direct
relation.
Rsquared(0.4305)
shows the
info plot
B/L(Big Companies with low-book-to-market ratio):
The variable of B/L doesn’t shows significant relation with MKT(-0.10953) and when it is
compared SMB(-0.8811*) the value is significant but it show indirect relation, same goes with
the HML(-0.7013**), with CMA(1.21448**) it shows direct relation and strong, but the
relationship with RMW(-0.11282) is not significant. FCF(1.3857**) and B/L has significant
value with direct relation. Rsquared(0.4441) shows the data plot with respect to the regression
line.
S/H/C(Small Companies with high-book-to-market and Conservative Investment
ratio):
Results do support the existence of MKT(0.410606) it also vouches for SMB(-0.73277), HML(--
0.7866**), and CMA(0.885071) as they have important relationship with dependent variable
S/H/C. Therefore, these variable explain the changes in dependent variable. The regression value
for this variable is (0.3442), taken as insignificant.
S/H/A(Small Companies with high-book-to-market and Aggressive Investment
ratio):
The variable of S/H/A doesn't indicates critical connection with MKT(0.281077) and when it is
looked at SMB(--0.36047) the esteem is noteworthy however it show roundabout connection,
same runs with the HML(-0.46699*), with CMA(1.03615**) it demonstrates coordinate
connection and solid, yet the association with RMW( 0.052059) isn't huge. FCF(0.9528**) and
S/H/A has critical incentive with direct connection. Rsquared( 0.3622) demonstrates the
information plot as for the relapse line.
S/L/C(Small Companies with Low-book-to-market and Conservative Investment
ratio):
The
variable
of
S/L/C
doesn’t
shows important relation
with
MKT(-0.18143)
and once it's compared SMB(--0.71083) the worth is critical however it show indirect relation,
same goes with the HML(--0.7354**), with CMA(1.20249**) it shows direct relation and
powerful, however the link with RMW(-0.028504) isn't important. FCF(1.3767**) and S/L/C
has important price with
direct
relation.
Rsquared(0.3844)
shows the
info plot
with relevance the curve.
S/L/A(Small Companies with low-book-to-market and Aggressive Investment ratio):
The
variable
of
S/L/A
doesn’t
shows important relation
with
MKT(0.098854)
and once it's compared SMB(--0.8906*) the worth is critical however it show indirect relation,
same goes with the HML(-0.7292**), with CMA(1.12677**) it shows direct relation and
powerful, however the link with RMW(--0.12849) isn't important. FCF(1.38361**) and S/L/A
has important price with
direct
relation.
Rsquared(0.3988)
shows the
info plot
with relevance the curve.
B/H/C(Big Companies with high-book-to-market and Conservative Investment
ratio):
The variable of B/H/C doesn’t shows significant relation with MKT(0.127206) and when it is
compared SMB(--0.95563*) the value is significant but it show indirect relation, same goes with
the HML(--0.7793**), with CMA(1.00445*) it shows direct relation and strong, but the
relationship with RMW(--0.10464) is not significant. FCF(1.4058**) and B/H/C has significant
value with direct relation. Rsquared(0.4080) shows the data plot with respect to the regression
line.
B/H/A(Big Companies with high-book-to-market and Aggressive Investment ratio):
The variable of B/H/A doesn't indicates critical connection with MKT(0.007068) and when it is
looked at SMB(-0.8739*) the esteem is noteworthy however it show roundabout connection,
same runs with the HML(-0.6952**), with CMA(1.09637**) it demonstrates coordinate
connection and solid, yet the association with RMW( -0.16373) isn't huge. FCF(1.3855**) and
B/H/A has critical incentive with direct connection. Rsquared( 0.4214) demonstrates the
information plot as for the relapse line.
B/L/C(Big Companies with low-book-to-market and Conservative Investment ratio):
The variable of B/L/C doesn't demonstrates huge connection with MKT(-0.07614) and when it is
looked at SMB(--0.95587*) the esteem is noteworthy however it show circuitous connection,
same runs with the HML(--0.7773**), with CMA(1.25822**) it indicates coordinate connection
and solid, yet the association with RMW(--0.0599) isn't huge. FCF(1.59166**) and B/L/C has
huge incentive with direct connection. Rsquared( 0.4416) demonstrates the information plot as
for the relapse line.
B/L/A(Big Companies with low-book-to-market and Aggressive Investment ratio):
The variable of B/L/A doesn't indicates critical connection with MKT( -0.15582) and when it is
looked at SMB(--0.9292**) the esteem is noteworthy however it show roundabout connection,
same runs with the HML(-0.6625**), with CMA(1.2044**) it demonstrates coordinate
connection and solid, yet the association with RMW( -0.18876) isn't huge. FCF(1.2999**) and
B/L/A has critical incentive with direct connection. Rsquared( 0.4443) demonstrates the
information plot as for the relapse line.
S/H/C/R(Small Companies with high-book-to-market, Conservative Investment and
robust profitability ratio):
Results do support the existence of MKT(0.398205) however it vouches for SMB(-0.68297),
HML(-0.86111*), and CMA(0.893459) as they have adverse and important relationship with
dependent variable S/H/C/R. Therefore, these variable explain the changes in dependent
variable. The regression value for this variable is (0.3008), taken as insignificant.
S/H/C/W(Small Companies with high-book-to-market, Conservative Investment
and Weak profitability ratio):
The variable of S/H/C/W shows important relation with MKT(0.466235) and once it's compared
SMB(--0.76943) the worth is critical however it show indirect relation, same goes with the
HML(-0.68034*), with CMA(0.845071*) it shows direct relation and powerful, however the
link with
RMW(0.003106) isn't important.
has important price with
direct
relation.
FCF(1.14978*)
Rsquared(0.3331)
and
shows the
S/H/C/W
info plot
with relevance the curve.
S/H/A/R(Small Companies with high-book-to-market, Aggressive Investment and
Robust profitability ratio):
The variable of S/H/A/R doesn't demonstrates huge connection with MKT(0.19595) and when it
is looked at SMB(--0.27226) the esteem is not noteworthy however it show circuitous
connection, same runs with the HML(-0.46316*), with CMA(1.1122**) it indicates coordinate
connection and solid, yet the association with RMW( 0.128693) isn't huge. FCF(0.979463*) and
S/H/A/R
has huge incentive with direct connection. Rsquared( 0.3506) demonstrates the
information plot as for the relapse line.
S/H/A/W(Small Companies with high-book-to-market, Aggressive Investment and
Weak profitability ratio):
The variable of S/H/A/W doesn't indicates critical connection with MKT(0.294404) and when it
is looked at SMB(--0.33937) the esteem is noteworthy however it show roundabout connection,
same runs with the HML(--0.46877*), with CMA(0.937158) it demonstrates coordinate
connection and solid, yet the association with RMW(0.004289) isn't huge. FCF(0.87135**) and
S/H/A/W has critical incentive with direct connection. Rsquared( 0.3032) demonstrates the
information plot as for the relapse line.
S/L/C/R(Small Companies with low-book-to-market, Conservative Investment and
robust profitability ratio):
Results do not support the existence of MKT(0.209012) however it vouches for SMB(-0.4974),
HML(-0.77139*), and CMA(1.207067*) as they have adverse and important relationship with
dependent variable S/L/C/R. Therefore, these variables explain the changes in dependent
variable. The regression value for this variable is (0.3316), taken as insignificant.
S/L/C/W(Small Companies with low-book-to-market, Conservative Investment and
Weak profitability ratio):
The variable of S/L/C/W doesn’t shows significant relation with MKT(-0.26668) and when it is
compared SMB(-0.53231) the value is significant but it show indirect relation, same goes with
the HML(-0.659), with CMA(1.108004*) it shows direct relation and strong, but the relationship
with RMW(0.09159) is not significant. FCF(1.171513*) and S/L/C/W has significant value with
direct relation. Rsquared(0.2757) shows the data plot with respect to the regression line.
S/L/A/R(Small Companies with low-book-to-market, Aggressive Investment and
Robust profitability ratio):
The
variable
of
S/L/A/R
doesn’t
shows important relation
with
MKT(0.138659)
and once it's compared SMB(-0.66973) the worth is critical however it show indirect relation,
same goes with the HML(-0.68264*), with CMA(1.183793*) it shows direct relation and
powerful, however the link with RMW(0.15262) isn't important. FCF(1.27582**) and S/L/A/R
has important price with
direct
relation.
Rsquared(0.3358)
shows the
info plot
with relevance the curve.
S/L/A/W(Small Companies with low-book-to-market, Aggressive Investment and
Weak profitability ratio):
The variable of S/L/A/W doesn't indicates critical connection with MKT(0.038339) and when it
is looked at SMB(-1.12756*) the esteem is noteworthy however it show roundabout connection,
same runs with the HML(-0.7686*), with CMA(1.071907*) it demonstrates coordinate
connection and solid, yet the association with RMW(-0.11781) isn't huge. FCF(1.49413**) and
S/L/A/W has critical incentive with direct connection. Rsquared( 0.3636) demonstrates the
information plot as for the relapse line.
B/H/C/R(Big Companies with high-book-to-market, Conservative Investment and
Robust profitability ratio):
The variable of B/H/C/R doesn't demonstrates huge connection with MKT(-0.05256) and when
it is looked at SMB(-0.84455*) the esteem is noteworthy however it show circuitous connection,
same runs with the HML(-0.76339*), with CMA(1.03342*) it indicates coordinate connection
and solid, yet the association with RMW(-0.09008) isn't huge. FCF(1.38318**) and B/H/C/R
has huge incentive with direct connection. Rsquared(0.3504) demonstrates the information plot
as for the relapse line.
B/H/C/W(Big Companies with high-book-to-market, Conservative Investment and
Weak profitability ratio):
Results do not support the existence of MKT(0.3595) however it vouches for SMB(--0.99505*),
HML(-0.8012**), and CMA(0.952932*) as they have adverse and important relationship with
dependent variable B/H/C/W. Therefore, these variable explain the changes in dependent
variable. The regression value for this variable is (0.3935), taken as insignificant.
B/H/A/R(Big Companies with high-book-to-market, Aggressive Investment and
Robust profitability ratio):
The variable of B/H/A/R doesn't indicates critical connection with MKT(-0.04628) and when it is
looked at SMB(-0.98056*) the esteem is noteworthy however it show roundabout connection,
same runs with the HML(-0.62397*), with CMA(1.21318**) it demonstrates coordinate
connection and solid, yet the association with RMW(0.29503) isn't huge. FCF(1.3916**) and
B/H/A/R has critical incentive with direct connection. Rsquared( 0.3901) demonstrates the
information plot as for the relapse line.
B/H/A/W(Big Companies with high-book-to-market, Aggressive Investment and
Weak profitability ratio):
The variable of B/H/A/W doesn’t shows significant relation with MKT(0.04708) and when it is
compared SMB(-0.81489**) the value is significant but it show indirect relation, same goes with
the HML(-0.708**), with CMA(1.10693**) it shows direct relation and strong, but the
relationship with RMW(-0.06055) is not significant. FCF(1.34810**) and B/H/A/W has
significant value with direct relation. Rsquared(0.4340) shows the data plot with respect to the
regression line.
B/L/C/R(Big Companies with low-book-to-market, Conservative Investment and
Robust profitability ratio):
The variable of B/L/C/R doesn't demonstrates huge connection with MKT(-0.0555) and when it
is looked at SMB(-0.84133*) the esteem is noteworthy however it show circuitous connection,
same runs with the HML(-0.7097**), with CMA(1.25422**) it indicates coordinate connection
and solid, yet the association with RMW( -0.10411) isn't huge. FCF(1.44260**) and B/L/C/R
has huge incentive with direct connection. Rsquared(0.4080) demonstrates the information plot
as for the relapse line.
B/L/C/W(Big Companies with low-book-to-market, Conservative Investment and
Weak profitability ratio):
The
variable
of
B/L/C/W
doesn’t
shows important relation
with
MKT(-0.09347)
and once it's compared SMB(-0.99591*) the worth is critical however it show indirect relation,
same goes with the HML(-0.8049**), with CMA(1.24456**) it shows direct relation and
powerful, however the link with RMW(-0.01168) isn't important. FCF(1.64173**) and B/H
B/L/C/W has important price with direct relation. Rsquared(0.4303) shows the info plot
with relevance the curve.
B/L/A/R(Big Companies with low-book-to-market, Aggressive
Investment and
Robust profitability ratio):
The variable of B/L/A/R doesn't indicates critical connection with MKT( -0.01261) and when it is
looked at SMB(-0.9595**) the esteem is noteworthy however it show roundabout connection,
same runs with the HML(-0.6027**), with CMA(1.01675**) it demonstrates coordinate
connection and solid, yet the association with RMW(-0.31949) isn't huge. FCF(1.08269**) and
B/L/A/R has critical incentive with direct connection. Rsquared( 0.4231) demonstrates the
information plot as for the relapse line.
B/L/A/W(Big Companies with low-book-to-market, Aggressive
Investment and
Weak profitability ratio):
The variable of B/L/A/W doesn’t shows significant relation with MKT( -0.3144) and when it is
compared SMB(--0.9316*) the value is significant but it show indirect relation, same goes with
the HML(-0.7482**), with CMA(1.37217**) it shows direct relation and strong, but the
relationship with RMW(-0.1082) is not significant. FCF(1.56892**) and B/L/A/W has
significant value with direct relation. Rsquared(0.4393) shows the data plot with respect to the
regression line.
S/H/C/R/Fh(Small Companies with high-book-to-market, Conservative Investment
,robust profitability and high free cash flows ratio):
The variable of S/H/C/R/Fh doesn't indicates critical connection with MKT(0.554471) and when
it is looked at SMB(-0.6247) the esteem is noteworthy however it show roundabout connection,
same runs with the HML(-1.13267*), with CMA(0.741402) it demonstrates coordinate
connection and solid, yet the association with RMW(0.22037) isn't huge. FCF(1.48647*) and
S/H/C/R/Fh has critical incentive with direct connection. Rsquared(0.2373) demonstrates the
information plot as for the relapse line.
S/H/C/R/Fl(Small Companies with high-book-to-market, Conservative Investment
,robust profitability and low free cash flows ratio):
The
variable
of
S/H/C/R/Fl
doesn’t
shows important relation
with
MKT(0.241324)
and once it's compared SMB(-0.74304*) the worth is critical however it show indirect relation,
same goes with the HML(-0.59135*), with CMA(1.06096**) it shows direct relation and
powerful, however the
link with
RMW(-0.01395) isn't important.
FCF(1.26146**)
and
S/H/C/R/Fl has important price with direct relation. Rsquared(0.3726) shows the info plot
with relevance the curve.
S/H/C/W/Fh(Small Companies with high-book-to-market, Conservative Investment
,weak profitability and high free cash flows ratio):
The variable of S/H/C/W/Fh doesn’t shows significant relation with MKT(0.515487) and when it
is compared SMB(-0.53498) the value is significant but it show indirect relation, same goes with
the HML(-0.77388*), with CMA(0.95110) it shows direct relation and strong, but the
relationship with RMW(0.122074) is not significant. FCF(1.22582*) and S/H/C/W/Fh has
significant value with direct relation. Rsquared(0.2998) shows the data plot with respect to the
regression line.
S/H/C/W/Fl(Small Companies with high-book-to-market, Conservative Investment
,weak profitability and low free cash flows ratio):
The
variable of
S/H/C/W/Fl
doesn’t
shows important relation
with
MKT(0.4122240)
and once it's compared SMB(-1.003510**) the worth is critical however it show indirect relation,
same goes with the HML(-0.57755*), with CMA(0.736125*) it shows direct relation and
powerful, however the
link with
RMW(-0.11935) isn't important.
FCF(1.06270**)
and
S/H/C/W/Fl has important price with direct relation. Rsquared(0.3505) shows the info plot
with relevance the curve.
S/H/A/R/Fh(Small Companies with high-book-to-market, Aggressive Investment
,Robust profitability and high free cash flows ratio):
The variable of S/H/A/R/Fh doesn't demonstrates huge connection with MKT( -0.165998) and
when it is looked at SMB(-0.706969) the esteem is noteworthy however it show circuitous
connection, same runs with the HML(-0.68456*), with CMA(1.12872**) it indicates coordinate
connection and solid, yet the association with RMW( 0.006827) isn't huge. FCF(1.37581**) and
S/H/A/R/Fh has huge incentive with direct connection. Rsquared(0.364) demonstrates the
information plot as for the relapse line.
S/H/A/R/Fl(Small Companies with high-book-to-market, Aggressive Investment
,Robust profitability and low free cash flows ratio):
The variable of S/H/A/R/Fl doesn’t shows significant relation with MKT(0.556057) and when it
is compared SMB(0.175085) the value is significant but it show indirect relation, same goes with
the HML(-0.23798), with CMA(1.091794*) it shows direct relation and strong, but the
relationship with RMW(0.255817) is not significant. FCF(0.576278*) and S/H/A/R/Fl has
significant value with direct relation. Rsquared(0.2738) shows the data plot with respect to the
regression line.
S/H/A/W/Fh(Small Companies with high-book-to-market, Aggressive Investment
,Weak profitability and high free cash flows ratio):
The variable of S/H/A/W/Fh doesn't indicates critical connection with MKT( 0.317135) and
when it is looked at SMB(0.207361) the esteem is noteworthy however it show roundabout
connection, same runs with the HML(-0.38326), with CMA(0.986965*) it demonstrates
coordinate connection and solid, yet the association with RMW(0.133558) isn't huge.
FCF(0.785691*)
and
S/H/A/W/Fh
has
critical
incentive
with
direct
connection.
Rsquared(0.2716) demonstrates the information plot as for the relapse line.
S/H/A/W/Fl(Small Companies with high-book-to-market, Aggressive Investment
,Weak profitability and low free cash flows ratio):
The
variable
of
S/H/A/W/Fl
doesn’t
shows important relation
with
MKT(0.285338)
and once it's compared SMB(-0.8837*) the worth is critical however it show indirect relation,
same goes with the HML(-0.55366*), with CMA(0.875416*) it shows direct relation and
powerful, however the
link with
RMW(-0.12384) isn't important.
FCF(0.95564*)
and
S/H/A/W/Fl has important price with direct relation. Rsquared(0.3179) shows the info plot
with relevance the curve.
S/L/C/R/Fh(Small Companies with low-book-to-market, Conservative Investment
,Robust profitability and high free cash flows ratio):
Results do not support the existence of MKT(0.523257) however it vouches for SMB(-0.29492),
HML(-0.72416), and CMA(1.19559*) as they have adverse and important relationship with
dependent variable S/L/C/R/Fh. Therefore, these variable explain the changes in dependent
variable. The regression value for this variable is (0.2856), taken as insignificant.
S/L/C/R/Fl(Small Companies with low-book-to-market, Conservative Investment
,Robust profitability and low free cash flows ratio):
The
variable
of
S/L/C/R/Fl
doesn’t
shows important relation
with
MKT(-0.10156)
and once it's compared SMB(--0.81466) the worth is critical however it show indirect relation,
same goes with the HML(--0.85806*), with CMA(1.24296*) it shows direct relation and
powerful, however the
link with
RMW(0.064517) isn't important.
FCF(1.51503**)
and
S/L/C/R/Fl has important price with direct relation. Rsquared(0.3267) shows the info plot
with relevance the curve.
S/L/C/W/Fh(Small Companies with low-book-to-market, Conservative Investment
,Weak profitability and high free cash flows ratio):
The variable of S/L/C/W/Fh doesn't indicates critical connection with MKT(-0.32855) and when
it is looked at SMB(--0.49296) the esteem is noteworthy however it show roundabout
connection, same runs with the HML(-0.57608), with CMA(1.177851) it demonstrates
coordinate connection and solid, yet the association with RMW(-0.00968) isn't huge.
FCF(1.205626)
and
S/L/C/W/Fh
has
critical
incentive
with
direct
connection.
Rsquared(0.2380) demonstrates the information plot as for the relapse line.
S/L/C/W/Fl(Small Companies with low-book-to-market, Conservative Investment
,Weak profitability and low free cash flows ratio):
The
variable
of
S/L/C/W/Fl
doesn’t
shows important relation
with
MKT(-0.21179)
and once it's compared SMB(--0.5571) the worth is critical however it show indirect relation,
same goes with the HML(-0.74874*), with CMA(1.032033) it shows direct relation and
powerful, however the
link with
RMW(0.198168) isn't important.
FCF(1.138372*)
and
S/L/C/W/Fl has important price with direct relation. Rsquared(0.2964) shows the info plot
with relevance the curve.
S/L/A/R/Fh(Small Companies with low-book-to-market, Aggressive Investment
,Robust profitability and high free cash flows ratio):
The variable of S/L/A/R/Fh doesn’t shows significant relation with MKT(0.369338) and when it
is compared SMB(-0.74356) the value is significant but it show indirect relation, same goes with
the HML(-0.57656), with CMA(1.211741*) it shows direct relation and strong, but the
relationship with RMW(-0.18831) is not significant. FCF(0.983371) and S/L/A/R/Fh has
significant value with direct relation. Rsquared(0.2833) shows the data plot with respect to the
regression line.
S/L/A/R/FI(Small Companies with low-book-to-market, Aggressive Investment
,Robust profitability and low free cash flows ratio):
The variable of S/L/A/R/FI doesn't indicates critical connection with MKT(-0.34905) and when
it is looked at SMB(--0.69896) the esteem is noteworthy however it show roundabout
connection, same runs with the HML(-0.78084*), with CMA(1.286499*) it demonstrates
coordinate connection and solid, yet the association with RMW( -0.19773) isn't huge.
FCF(1.63866**)
and
S/L/A/R/FI
has
critical
incentive
with
direct
connection.
Rsquared(0.3299) demonstrates the information plot as for the relapse line.
S/L/A/W/Fh(Small Companies with low-book-to-market, Aggressive Investment
,Weak profitability and high free cash flows ratio):
The
variable
of
S/L/A/W/Fh
doesn’t
shows important relation
with
MKT(-0.29923)
and once it's compared SMB(-1.07777*) the worth is critical however it show indirect relation,
same goes with the HML(-0.61271), with CMA(1.249618*) it shows direct relation and
powerful, however the
link with
RMW(-0.29172) isn't important.
FCF(1.36265**)
and
S/L/A/W/Fh has important price with direct relation. Rsquared(0.3399) shows the info plot
with relevance the curve.
S/L/A/W/Fl(Small Companies with low-book-to-market, Aggressive Investment
,Weak profitability and low free cash flows ratio):
The variable of S/L/A/W/Fl doesn't indicates critical connection with MKT(0.001765) and when
it is looked at SMB(--1.28379*) the esteem is noteworthy however it show roundabout
connection, same runs with the HML(-0.9247*), with CMA(1.068527) it demonstrates
coordinate connection and solid, yet the association with RMW(0.02236) isn't huge.
FCF(1.73062**)
and
S/L/A/W/Fl
has
critical
incentive
with
Rsquared(0.3440) demonstrates the information plot as for the relapse line.
direct
connection.
B/H/C/R/Fh(Big Companies with High-book-to-market, Conservative Investment
,Robust profitability and high free cash flows ratio):
The
variable
of
B/H/C/R/Fh
doesn’t
shows important relation
with
MKT(0.232693)
and once it's compared SMB(-0.58863*) the worth is critical however it show indirect relation,
same goes with the HML(-0.74968), with CMA(0.985506) it shows direct relation and
powerful, however the
link with
RMW(0.041651) isn't important.
FCF(1.10684)
and
B/H/C/R/Fh has important price with direct relation. Rsquared(0.2623) shows the info plot
with relevance the curve.
B/H/C/R/Fl(Big Companies with High-book-to-market, Conservative Investment
,Robust profitability and low free cash flows ratio):
The variable of B/H/C/R/Fl doesn't indicates critical connection with MKT(-0.34036) and when
it is looked at SMB(-1.11338**) the esteem is noteworthy however it show roundabout
connection, same runs with the HML(-0.7758**), with CMA(1.083053) it demonstrates
coordinate connection and solid, yet the association with RMW( -0.22834) isn't huge.
FCF(1.66764**)
and
B/H/C/R/Fl
has
critical
incentive
with
direct
connection.
Rsquared(0.3979) demonstrates the information plot as for the relapse line.
B/H/C/W/Fh(Big Companies with High-book-to-market, Conservative Investment
,Weak profitability and high free cash flows ratio):
The variable of B/H/C/W/Fh doesn’t shows significant relation with MKT(0.289734) and when
it is compared SMB(-0.90995) the value is significant but it show indirect relation, same goes
with the HML(-0.82301*), with CMA(1.001535) it shows direct relation and strong, but the
relationship with RMW(-0.08859) is not significant. FCF(1.36736*) and B/H/C/W/Fh has
significant value with direct relation. Rsquared(0.3191) shows the data plot with respect to the
regression line.
B/H/C/W/FI(Big Companies with High-book-to-market, Conservative Investment
,Weak profitability and low free cash flows ratio):
Results do not support the existence of MKT(0.430753)
however it vouches for SMB(-
1.08684*), HML(-0.78347*), and CMA(0.901271) as they have adverse and important
relationship with dependent variable B/H/C/W/FI. Therefore, these variable explain the changes
in dependent variable. The regression value for this variable is (0.3463), taken as insignificant.
B/H/A/R/Fh(Big Companies with High-book-to-market, Aggressive Investment
,Robust profitability and high free cash flows ratio):
The variable of B/H/A/R/Fh doesn't demonstrates huge connection with MKT( 0.232693) and
when it is looked at SMB(-0.58863) the esteem is noteworthy however it show circuitous
connection, same runs with the HML(-0.74968*), with CMA(0.985506) it indicates coordinate
connection and solid, yet the association with RMW( 0.041651) isn't huge. FCF(1.10684) and
B/H/A/R/Fh has huge incentive with direct connection. Rsquared(0.2623) demonstrates the
information plot as for the relapse line.
B/H/A/R/FI(Big Companies with High-book-to-market, Aggressive Investment
,Robust profitability and low free cash flows ratio):
The
variable
of
B/H/A/R/FI
doesn’t
shows important relation
with
MKT(-0.34036)
and once it's compared SMB(-1.11338**) the worth is critical however it show indirect relation,
same goes with the HML(-0.7758**), with CMA(1.083053) it shows direct relation and
powerful, however the
link with
RMW(-0.22834) isn't important.
FCF(1.66764**)
and
B/H/A/R/FI has important price with direct relation. Rsquared(0.3979) shows the info plot
with relevance the curve.
B/H/A/W/Fh(Big Companies with High-book-to-market, Aggressive Investment
,Weak profitability and high free cash flows ratio):
The variable of B/H/A/W/Fh doesn’t shows significant relation with MKT(0.232693) and when
it is compared SMB(-0.58863*) the value is significant but it show indirect relation, same goes
with the HML(-0.74968), with CMA(0.985506) it shows direct relation and strong, but the
relationship with RMW(0.041651) is not significant. FCF(1.10684) and B/H/A/W/Fh has
significant value with direct relation. Rsquared(0.2623) shows the data plot with respect to the
regression line.
B/H/A/W/FI(Big Companies with High-book-to-market, Aggressive Investment
,Weak profitability and low free cash flows ratio):
The
variable
of
B/H/A/W/FI
doesn’t
shows important relation
with
MKT(-0.34036)
and once it's compared SMB(--1.11338**) the worth is critical however it show indirect relation,
same goes with the HML(-0.7758**), with CMA(1.083053) it shows direct relation and
powerful, however the
link with
RMW(-0.22834) isn't important.
FCF(1.66764**)
and
B/H/A/W/FI has important price with direct relation. Rsquared(0.3979) shows the info plot
with relevance the curve.
B/L/C/R/Fh(Big Companies with Low-book-to-market, Conservative Investment
,Robust profitability and high free cash flows ratio):
The variable of
B/L/C/R/Fh doesn't demonstrates huge connection with MKT( -0.091529) and
when it is looked at SMB(-0.63908) the esteem is noteworthy however it show circuitous
connection, same runs with the HML(-0.57865), with CMA(1.26090**) it indicates coordinate
connection and solid, yet the association with RMW( -0.04901) isn't huge. FCF(1.15149*) and
B/L/C/R/Fh has huge incentive with direct connection. Rsquared(0.3204) demonstrates the
information plot as for the relapse line.
B/L/C/R/FI(Big Companies with Low-book-to-market, Conservative Investment
,Robust profitability and low free cash flows ratio):
Results do not support the existence of MKT(-0.2056) however it vouches for SMB(--1.02762*),
HML(--0.8442**), and CMA(1.24809**) as they have adverse and important relationship with
dependent variable
B/L/C/R/FI. Therefore, these variable explain the changes in dependent
variable. The regression value for this variable is (0.4073), taken as insignificant.
B/L/C/W/Fh(Big Companies with Low-book-to-market, Conservative Investment
,Weak profitability and high free cash flows ratio):
The variable of B/L/C/W/Fh doesn’t shows significant relation with MKT(0.055166) and when it
is compared SMB(-1.03341*) the value is significant but it show indirect relation, same goes
with the HML(-0.81385*), with CMA(1.24139*) it shows direct relation and strong, but the
relationship with RMW(-0.08183) is not significant. FCF(1.63303**) and
B/L/C/W/Fh has
significant value with direct relation. Rsquared(0.3733) shows the data plot with respect to the
regression line.
B/L/C/W/FI(Big Companies with Low-book-to-market, Conservative Investment
,Weak profitability and low free cash flows ratio):
The variable of
B/L/C/W/FI doesn't indicates critical connection with MKT(0.33675) and when
it is looked at SMB(-0.56) the esteem is noteworthy however it show roundabout connection,
same runs with the HML(-0.6328*), with CMA(0.9573*) it demonstrates coordinate connection
and solid, yet the association with RMW(0.060514) isn't huge. FCF(1.1402**) and B/L/C/W/FI
has critical incentive with direct connection. Rsquared(0.3611) demonstrates the information
plot as for the relapse line.
B/L/A/R/Fh(Big Companies with Low-book-to-market, Aggressive Investment
,Robust profitability and high free cash flows ratio):
-
The
variable
of
-
B/L/A/R/Fh doesn’t shows important relation with MKT(0.19406*)
and once it's compared SMB(--0.89106*) the worth is critical however it show indirect relation,
same goes with the HML(-0.6918*), with CMA(0.863714) it shows direct relation and
powerful, however the
link with
RMW(-0.12905) isn't important.
FCF(1.11489**)
and
B/L/A/R/Fh has important price with direct relation. Rsquared(0.3525) shows the info plot
with relevance the curve.
B/L/A/R/FI(Big Companies with Low-book-to-market,
Aggressive Investment
,Robust profitability and low free cash flows ratio):
The variable of B/L/A/R/FI doesn't indicates critical connection with MKT( -0.17202) and when
it is looked at SMB(-0.99387*) the esteem is noteworthy however it show roundabout
connection, same runs with the HML(-0.51893), with CMA(1.143299*) it demonstrates
coordinate connection and solid, yet the association with RMW(0.47512) isn't huge.
FCF(1.03218**)
and
B/L/A/R/FI
has
critical
incentive
with
direct
connection.
Rsquared(0.3736) demonstrates the information plot as for the relapse line.
B/L/A/W/Fh(Big Companies with Low-book-to-market,
,Weak profitability and high free cash flows ratio):
Aggressive Investment
The variable of
B/L/A/W/Fh doesn’t shows significant relation with MKT(0.060471) and when
it is compared SMB(0.060471) the value is not significant but it show direct relation, same goes
with the HML(0.06047*), with CMA(0.060471*) it shows direct relation and strong, but the
relationship with RMW(0.060471) is not significant. FCF(0.06047**) and
B/L/A/W/Fh has
significant value with direct relation. Rsquared(0.3623) shows the data plot with respect to the
regression line.
B/L/A/W/Fl(Big Companies with Low-book-to-market,
Aggressive Investment
,Weak profitability and low free cash flows ratio):
The variable of
B/L/A/W/Fl doesn't demonstrates huge connection with MKT( -0.26169) and
when it is looked at SMB(-0.93263) the esteem is noteworthy however it show circuitous
connection, same runs with the HML(-0.76659*), with CMA(1.42505**) it indicates coordinate
connection and solid, yet the association with RMW( -0.05829) isn't huge. FCF(1.62320**) and
B/L/A/W/Fl has huge incentive with direct connection. Rsquared(0.3604) demonstrates the
information plot as for the relapse line.