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The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)

Table 4 FF three-factor regression results RPt − RFt = a + b (RMt − RFt) + s SMBt + l LMHt + et

From: Role of human assets in measuring firm performance and its implication for firm valuation

Panel A (MC_PB

 

a

RM

Low

2

3

4

High

Low

2

3

4

High

Small

0.013

0.009

0.009

0.002

− 0.004

1.038

1.093

1.103

1.011

1.096

2

0.001

− 0.001

0.000

− 0.005

0.002

0.804

1.075

0.951

1.021

1.019

3

− 0.006

− 0.003

− 0.003

0.001

0.003

1.118

1.199

0.920

1.139

0.979

4

− 0.003

0.001

0.006

0.002

0.004

1.050

0.952

1.258

1.139

0.866

Big

0.003

0.000

0.002

0.002

0.001

0.994

1.106

1.024

1.139

0.911

 

S

L

Low

2

3

4

High

Low

2

3

4

High

Small

1.423

1.220

0.967

1.193

1.231

0.631

0.414

0.183

0.062

− 0.165

2

1.464

0.772

0.795

0.893

0.629

1.433

0.427

0.282

0.148

− 0.152

3

0.680

0.575

0.415

0.471

0.358

0.813

0.470

0.295

− 0.064

− 0.115

4

− 0.184

− 0.096

− 0.135

0.270

0.248

1.121

0.666

0.247

− 0.064

− 0.227

Big

− 0.361

− 0.401

− 0.287

0.270

0.181

0.998

0.628

0.303

− 0.064

− 0.270

 

t(a)

t(RM)

Low

2

3

4

High

Low

2

3

4

High

Small

2.601

1.966

2.262

0.522

− 1.119

15.455

17.404

19.464

21.447

21.491

2

0.135

− 0.113

0.061

− 1.560

0.683

6.286

16.486

18.565

21.907

22.855

3

− 1.979

− 0.774

− 0.763

0.156

0.984

19.763

22.420

18.153

25.087

23.376

4

− 0.821

0.155

1.987

0.611

1.536

19.386

16.925

21.962

23.993

21.939

Big

0.928

− 0.158

1.047

0.611

0.239

21.391

25.439

31.552

23.993

28.252

 

t(s)

t(l)

Low

2

3

4

High

Low

2

3

4

High

Small

9.517

8.727

7.670

11.378

10.844

6.230

4.366

2.147

0.874

− 2.151

2

5.142

5.321

6.977

8.615

6.335

7.425

4.345

3.651

2.110

− 2.259

3

5.400

4.834

3.679

4.659

3.841

9.533

5.830

3.862

− 0.940

− 1.820

4

− 1.528

− 0.769

− 1.058

2.552

2.820

13.720

7.857

2.861

− 0.889

− 3.813

Big

− 3.496

− 4.147

− 3.978

2.552

2.527

14.238

9.581

6.192

− 0.889

− 5.559

Panel B MC_ROE

 

a

RM

Low

2

3

4

High

Low

2

3

4

High

Small

0.006

0.007

0.004

0.007

0.008

1.076

0.776

0.998

1.037

1.108

2

− 0.006

− 0.003

− 0.001

− 0.002

0.005

1.091

1.051

1.011

1.073

1.037

3

− 0.007

− 0.002

0.000

− 0.001

0.008

1.106

1.115

1.083

0.991

1.028

4

− 0.009

− 0.002

0.007

0.009

0.010

1.150

0.996

0.957

0.953

0.903

Big

− 0.003

− 0.005

0.002

0.003

0.005

1.136

1.123

1.027

1.013

1.006

 

S

L

Low

2

3

4

High

Low

2

3

4

High

Small

1.667

1.189

1.094

1.175

1.351

0.617

1.251

0.457

0.210

− 0.110

2

0.858

0.669

0.658

0.925

0.629

0.808

0.562

0.183

− 0.068

0.006

3

0.618

0.232

0.294

0.421

0.197

0.764

0.451

0.244

0.270

− 0.004

4

0.214

− 0.043

− 0.163

− 0.099

0.300

0.611

0.680

0.360

0.130

− 0.200

Big

− 0.222

− 0.220

− 0.158

− 0.018

− 0.003

0.516

0.469

0.220

− 0.028

− 0.209

 

t(a)

t(RM)

Low

2

3

4

High

Low

2

3

4

High

Small

1.997

0.566

0.979

1.831

1.916

16.349

4.765

16.617

18.954

19.143

2

− 1.330

− 0.620

− 0.151

− 0.660

1.491

16.180

18.117

19.342

20.701

20.755

3

− 1.476

− 0.405

0.051

− 0.308

2.597

16.007

18.809

21.125

19.774

23.729

4

− 1.775

− 0.416

1.968

2.433

3.518

17.190

17.404

18.116

18.402

23.898

Big

− 0.739

− 1.501

0.622

1.103

1.628

23.714

25.233

27.717

25.631

25.179

 

t(s)

t(l)

Low

2

3

4

High

Low

2

3

4

High

Small

11.381

3.279

8.188

9.654

10.493

6.217

5.091

5.051

2.547

− 1.257

2

5.718

5.185

5.659

8.019

5.660

7.949

6.428

2.322

− 0.872

0.084

3

4.018

1.758

2.575

3.778

2.039

7.330

5.050

3.161

3.566

− 0.057

4

1.436

− 0.338

− 1.390

− 0.862

3.572

6.051

7.871

4.519

1.669

− 3.509

Big

− 2.080

− 2.220

− 1.915

− 0.202

− 0.039

7.136

6.984

3.938

− 0.476

− 3.473

Panel C MC_TA

 

a

RM

Low

2

3

4

High

Low

2

3

4

High

Small

0.009

0.005

0.001

0.009

0.006

1.051

1.143

1.071

0.788

1.108

2

0.000

− 0.001

− 0.003

0.000

0.000

1.080

1.048

0.969

0.929

1.086

3

− 0.004

− 0.004

− 0.004

0.000

− 0.004

1.099

0.978

1.139

1.119

1.093

4

0.000

0.004

0.006

0.002

0.005

1.049

1.016

0.988

0.984

1.282

Big

0.003

0.002

0.000

0.009

− 0.001

0.971

0.830

1.004

1.031

1.181

 

S

L

Low

2

3

4

High

Low

2

3

4

High

Small

1.629

1.314

1.073

1.274

1.448

0.262

0.536

0.458

0.920

0.371

2

0.700

0.704

0.667

0.449

0.793

0.556

0.345

0.448

0.403

0.270

3

0.653

0.385

0.349

0.164

0.494

0.478

0.345

0.226

0.200

0.306

4

0.179

0.005

0.027

− 0.009

− 0.011

0.195

0.314

0.333

0.339

0.078

Big

0.052

− 0.131

− 0.120

− 0.304

− 0.042

0.135

0.282

0.070

0.151

0.018

 

t(a)

t(RM)

Low

2

3

4

High

Low

2

3

4

High

Small

2.029

1.103

0.285

1.975

1.997

16.214

18.425

17.937

5.504

16.419

2

− 0.101

− 0.311

− 0.711

0.017

− 0.090

19.564

17.682

19.469

17.775

17.412

3

− 1.107

− 1.012

− 1.250

− 0.086

− 0.760

22.238

18.320

25.376

22.580

15.654

4

0.055

1.279

1.978

0.669

1.000

17.536

20.961

20.534

22.067

18.501

Big

0.775

0.734

− 0.145

3.479

− 0.417

21.513

22.036

32.640

28.766

26.228

 

t(s)

t(l)

Low

2

3

4

High

Low

2

3

4

High

Small

10.303

9.518

8.074

4.002

9.649

2.529

5.724

5.086

4.264

3.641

2

5.698

5.337

6.021

3.863

5.717

6.676

3.860

5.969

5.109

2.870

3

5.939

3.239

3.495

1.490

3.180

6.419

4.283

3.337

2.677

2.908

4

1.346

0.048

0.248

− 0.088

− 0.074

2.162

4.299

4.589

5.038

0.748

Big

0.516

− 1.569

− 1.750

− 3.814

− 0.419

1.978

4.961

1.518

2.800

0.270

Panel D MC_TAM

 

a

RM

Low

2

3

4

High

Low

2

3

4

High

Small

0.003

0.013

0.002

0.003

− 0.001

1.291

0.851

0.819

0.957

0.897

2

0.001

0.002

0.001

0.000

− 0.002

1.192

1.015

0.973

0.923

0.933

3

− 0.006

− 0.001

0.005

− 0.004

0.002

1.224

1.040

1.046

1.124

0.904

4

0.001

− 0.001

0.006

0.003

0.007

1.187

0.834

0.906

0.907

0.914

Big

0.004

0.002

0.002

0.007

0.001

0.987

1.307

1.083

0.965

1.000

 

S

L

Low

2

3

4

High

Low

2

3

4

High

Small

1.615

0.901

1.457

1.164

0.867

0.125

0.662

0.988

0.355

0.387

2

0.831

0.811

0.443

0.757

0.289

0.579

0.431

0.317

0.449

0.327

3

1.053

0.392

0.305

0.132

0.031

0.185

0.269

0.076

0.405

0.393

4

0.399

0.176

0.090

− 0.261

0.178

0.202

0.371

0.295

0.529

0.003

Big

− 0.171

− 0.043

0.039

− 0.231

0.030

0.133

0.004

0.098

0.177

− 0.130

 

t(a)

t(RM)

Low

2

3

4

High

Low

2

3

4

High

Small

0.700

2.456

0.241

0.731

− 0.333

19.444

11.308

6.202

15.261

14.943

2

0.238

0.425

0.263

− 0.053

− 0.408

17.029

17.696

17.117

16.392

17.245

3

− 1.294

− 0.377

1.372

− 0.856

0.453

19.507

19.014

19.696

19.405

19.013

4

0.173

− 0.199

1.975

0.804

2.158

19.411

16.829

16.299

19.323

19.951

Big

0.861

0.537

0.718

2.725

0.499

15.506

26.744

23.671

26.202

28.262

 

t(s)

t(l)

Low

2

3

4

High

Low

2

3

4

High

Small

10.930

5.377

4.962

8.346

6.495

1.250

5.831

4.962

3.751

4.275

2

5.335

6.351

3.503

6.041

2.400

5.484

4.979

3.701

5.285

4.004

3

7.542

3.218

2.580

1.025

0.294

1.955

3.261

0.950

4.638

5.478

4

2.935

1.593

0.729

− 2.495

1.749

2.191

4.967

3.519

7.470

0.046

Big

− 1.207

− 0.394

0.386

− 2.813

0.379

1.389

0.061

1.427

3.185

− 2.429

Panel E R2

 

MC_PB

MC_ROE

Low

2

3

4

High

Low

2

3

4

High

Small

0.733

0.741

0.749

0.785

0.768

0.757

0.342

0.733

0.754

0.732

2

0.510

0.716

0.750

0.793

0.782

0.755

0.769

0.751

0.755

0.760

3

0.819

0.823

0.745

0.820

0.795

0.743

0.771

0.791

0.771

0.811

4

0.854

0.776

0.812

0.810

0.768

0.754

0.782

0.767

0.747

0.797

Big

0.876

0.884

0.908

0.810

0.847

0.856

0.868

0.876

0.839

0.825

 

MC_TA

MC_TAM

Low

2

3

4

High

Low

2

3

4

High

Small

0.734

0.774

0.756

0.346

0.719

0.756

0.612

0.415

0.691

0.682

2

0.792

0.734

0.785

0.750

0.718

0.740

0.747

0.722

0.726

0.730

3

0.824

0.752

0.842

0.811

0.678

0.753

0.756

0.752

0.780

0.783

4

0.721

0.803

0.798

0.822

0.737

0.755

0.735

0.710

0.813

0.753

Big

0.795

0.826

0.900

0.884

0.847

0.680

0.852

0.822

0.864

0.858