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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