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

Table 5 Regression results of Fama–French five-factor model for 25 portfolios RPt – RFt = a + b (RMt − RFt) + s SMBt + l LMHt + p RMWt + t CMAt + et

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

Panel A MC_PB
  a b
Low 2 3 4 High Low 2 3 4 High
Small 0.010 0.011 0.012 0.003 − 0.002 1.063 1.076 1.100 0.993 1.087
2 0.010 0.004 0.002 − 0.004 0.005 0.657 1.050 0.949 0.990 0.988
3 − 0.004 0.000 − 0.001 0.002 0.003 1.122 1.176 0.908 1.104 0.962
4 − 0.002 0.003 0.012 0.005 0.006 1.042 0.936 1.184 1.109 0.838
Big 0.004 0.001 0.003 0.008 0.003 0.991 1.081 1.023 1.104 0.893
  S L
Low 2 3 4 High Low 2 3 4 High
Small 1.417 1.232 0.925 1.216 1.200 0.921 0.254 − 0.032 − 0.071 − 0.408
2 1.697 0.747 0.761 0.943 0.659 0.578 − 0.001 0.106 − 0.018 − 0.414
3 0.622 0.583 0.415 0.545 0.396 0.617 0.202 0.151 − 0.184 − 0.161
4 − 0.178 − 0.097 − 0.056 0.304 0.291 1.042 0.465 − 0.350 − 0.304 − 0.387
Big − 0.372 − 0.371 − 0.290 − 0.157 0.184 0.922 0.439 0.278 − 0.215 − 0.484
  R T
Low 2 3 4 High Low 2 3 4 High
Small 0.384 − 0.221 − 0.241 − 0.196 − 0.288 0.066 − 0.086 0.179 − 0.132 0.120
2 − 1.343 − 0.536 − 0.198 − 0.266 − 0.373 − 1.283 0.064 0.145 − 0.273 − 0.189
3 − 0.201 − 0.359 − 0.189 − 0.228 − 0.097 0.260 − 0.075 − 0.023 − 0.386 − 0.195
4 − 0.110 − 0.263 − 0.857 − 0.348 − 0.251 − 0.044 − 0.025 − 0.478 − 0.207 − 0.240
Big − 0.089 − 0.276 − 0.029 − 0.230 − 0.282 0.041 − 0.176 0.012 − 0.142 − 0.043
  t(a) t(RM)
Low 2 3 4 High Low 2 3 4 High
Small 1.908 2.216 2.722 0.875 − 0.414 15.406 16.546 18.995 20.395 20.935
2 1.068 0.816 0.544 − 1.037 1.472 5.273 15.992 18.059 20.855 21.893
3 − 0.935 − 0.058 − 0.341 0.492 1.076 19.494 21.491 17.326 24.189 22.307
4 − 0.584 0.639 3.041 1.281 2.032 18.513 16.143 21.892 22.942 20.902
Big 1.108 0.433 1.099 2.724 1.157 20.565 24.309 30.323 28.350 27.447
  t(s) t(l)
Low 2 3 4 High Low 2 3 4 High
Small 9.281 8.562 7.217 11.290 10.436 5.204 1.523 − 0.216 − 0.569 − 3.063
2 6.155 5.143 6.547 8.973 6.600 1.807 − 0.006 0.786 − 0.148 − 3.580
3 4.882 4.814 3.580 5.390 4.145 4.178 1.436 1.124 − 1.572 − 1.454
4 − 1.425 − 0.755 − 0.467 2.845 3.280 7.215 3.124 − 2.522 − 2.456 − 3.759
Big − 3.483 − 3.772 − 3.889 − 1.821 2.555 7.455 3.851 3.215 − 2.151 − 5.798
  t(r) t(T)
Low 2 3 4 High Low 2 3 4 High
Small 1.958 − 1.195 − 1.466 − 1.418 − 1.949 0.368 − 0.509 1.182 − 1.042 0.884
2 − 3.793 − 2.872 − 1.323 − 1.969 − 2.905 − 3.948 0.376 1.058 − 2.208 − 1.609
3 − 1.228 − 2.306 − 1.267 − 1.757 − 0.788 1.735 − 0.524 − 0.168 − 3.244 − 1.737
4 − 0.689 − 1.595 − 5.574 − 2.535 − 2.201 − 0.301 − 0.163 − 3.391 − 1.640 − 2.291
Big − 0.649 − 2.183 − 0.306 − 2.082 − 3.049 0.324 − 1.518 0.139 − 1.402 − 0.512
Panel B MC_ROE
  a RM
Low 2 3 4 High Low 2 3 4 High
Small 0.008 0.019 0.005 0.004 0.005 1.088 0.558 0.995 1.040 1.126
2 − 0.003 0.001 0.002 − 0.003 0.003 1.084 1.027 1.010 1.051 1.042
3 − 0.001 0.005 0.000 − 0.003 0.007 1.068 1.062 1.072 0.975 1.022
4 − 0.001 0.002 0.010 0.009 0.010 1.104 0.944 0.933 0.956 0.893
Big 0.003 0.000 0.005 0.005 0.003 1.107 1.093 1.000 0.980 1.002
  S L
Low 2 3 4 High Low 2 3 4 High
Small 1.589 1.528 1.093 1.234 1.364 0.433 − 0.035 0.418 0.505 0.179
2 0.796 0.655 0.611 0.991 0.659 0.452 0.204 − 0.028 − 0.061 0.201
3 0.598 0.234 0.320 0.507 0.238 0.190 − 0.208 0.214 0.429 0.093
4 0.177 0.023 − 0.152 − 0.111 0.312 − 0.132 0.297 0.111 0.126 − 0.274
Big − 0.259 − 0.229 − 0.150 0.034 0.037 − 0.007 0.050 − 0.075 − 0.228 − 0.079
  R T
Low 2 3 4 High Low 2 3 4 High
Small − 0.165 − 2.009 − 0.051 0.328 0.365 0.363 − 1.874 − 0.001 − 0.254 − 0.024
2 − 0.407 − 0.455 − 0.231 − 0.055 0.226 0.258 0.019 0.203 − 0.330 − 0.120
3 − 0.732 − 0.863 − 0.065 0.127 0.087 0.019 − 0.102 − 0.133 − 0.404 − 0.193
4 − 0.936 − 0.564 − 0.337 0.006 − 0.108 0.077 − 0.382 − 0.092 0.057 − 0.067
Big − 0.648 − 0.539 − 0.394 − 0.311 0.131 0.111 − 0.013 − 0.081 − 0.285 − 0.182
  t(a) t(RM)
Low 2 3 4 High Low 2 3 4 High
Small 1.980 1.718 1.019 1.025 1.159 16.267 3.609 15.935 18.960 19.054
2 − 0.546 0.260 0.430 − 0.681 0.891 15.948 17.504 18.997 19.864 20.367
3 − 0.284 1.228 0.120 − 0.790 2.175 15.628 18.865 20.157 19.533 23.010
4 − 0.189 0.512 2.494 2.326 3.611 17.494 16.547 17.247 17.768 22.802
Big 0.874 − 0.155 1.740 1.767 1.109 24.559 25.196 27.147 24.667 24.622
  t(s) t(l)
Low 2 3 4 High Low 2 3 4 High
Small 10.731 4.464 7.909 10.165 10.425 2.525 − 0.088 2.610 3.587 1.181
2 5.293 5.045 5.195 8.465 5.815 2.590 1.356 − 0.206 − 0.450 1.528
3 3.955 1.875 2.715 4.588 2.422 1.083 − 1.438 1.566 3.354 0.821
4 1.271 0.179 − 1.269 − 0.931 3.594 − 0.818 2.028 0.796 0.912 − 2.729
Big − 2.591 − 2.385 − 1.836 0.384 0.407 − 0.061 0.447 − 0.795 − 2.238 − 0.760
  t(r) t(T)
Low 2 3 4 High Low 2 3 4 High
Small − 0.868 − 4.569 − 0.285 2.106 2.173 2.082 − 4.645 − 0.007 − 1.772 − 0.154
2 − 2.106 − 2.727 − 1.527 − 0.364 1.550 1.456 0.124 1.467 − 2.393 − 0.899
3 − 3.767 − 5.395 − 0.430 0.893 0.691 0.108 − 0.692 − 0.960 − 3.100 − 1.668
4 − 5.220 − 3.480 − 2.191 0.036 − 0.970 0.469 − 2.569 − 0.650 0.409 − 0.655
Big − 5.055 − 4.372 − 3.756 − 2.752 1.133 0.942 − 0.117 − 0.848 − 2.751 − 1.716
Panel C MC_TA
  a RM
Low 2 3 4 High Low 2 3 4 High
Small 0.010 0.006 0.002 0.018 0.005 1.098 1.156 1.074 0.592 1.089
2 0.001 0.002 0.001 0.002 0.001 1.082 1.038 0.950 0.917 1.022
3 − 0.001 − 0.002 − 0.003 0.001 − 0.003 1.110 0.996 1.124 1.097 1.012
4 0.004 0.008 0.007 0.003 0.011 1.036 1.002 0.986 0.963 1.189
Big 0.007 0.004 0.001 0.008 0.003 0.968 0.829 0.996 1.020 1.109
  S L
Low 2 3 4 High Low 2 3 4 High
Small 1.438 1.246 1.055 1.638 1.528 0.214 0.402 0.415 0.028 0.479
2 0.654 0.662 0.652 0.449 0.933 0.383 0.034 0.150 0.253 0.070
3 0.553 0.297 0.378 0.201 0.712 0.188 0.194 0.166 0.075 0.235
4 0.143 − 0.022 0.003 0.031 0.120 − 0.137 0.014 0.205 0.238 − 0.532
Big − 0.029 − 0.164 − 0.122 − 0.254 0.066 − 0.245 0.128 − 0.037 0.232 − 0.422
  R T
Low 2 3 4 High Low 2 3 4 High
Small − 0.187 − 0.109 − 0.038 − 1.517 0.065 0.716 0.322 0.083 − 1.940 − 0.383
2 − 0.182 − 0.366 − 0.376 − 0.196 − 0.396 0.207 0.169 0.031 − 0.020 − 0.724
3 − 0.283 − 0.113 − 0.106 − 0.199 − 0.304 0.460 0.416 − 0.155 − 0.199 − 1.101
4 − 0.399 − 0.366 − 0.145 − 0.170 − 0.925 0.134 0.096 0.098 − 0.214 − 0.742
Big − 0.419 − 0.169 − 0.139 0.057 − 0.681 0.350 0.142 − 0.003 − 0.238 − 0.603
  t(a) t(RM)
Low 2 3 4 High Low 2 3 4 High
Small 2.316 1.385 0.373 1.803 1.014 18.752 18.242 17.314 4.406 15.812
2 0.350 0.441 0.146 0.407 0.329 19.149 17.292 18.852 16.965 16.805
3 − 0.236 − 0.569 − 1.024 0.250 − 0.727 23.439 18.659 24.216 21.480 15.793
4 0.836 2.131 2.035 0.935 2.314 17.092 20.515 19.855 20.993 18.111
Big 2.110 1.291 0.342 3.054 1.014 22.806 21.628 31.404 28.133 27.144
  t(s) t(l)
Low 2 3 4 High Low 2 3 4 High
Small 11.095 8.881 7.684 5.504 10.026 1.428 2.471 2.610 0.082 2.710
2 5.227 4.978 5.846 3.753 6.928 2.641 0.221 1.158 1.822 0.446
3 5.271 2.516 3.683 1.775 5.022 1.548 1.416 1.397 0.570 1.429
4 1.067 − 0.207 0.031 0.308 0.826 − 0.879 0.111 1.609 2.025 − 3.161
Big − 0.307 − 1.937 − 1.740 − 3.167 0.734 − 2.253 1.307 − 0.461 2.493 − 4.027
  t(r) t(T)
Low 2 3 4 High Low 2 3 4 High
Small − 1.126 − 0.605 − 0.218 − 3.970 0.330 4.690 1.950 0.516 − 5.531 − 2.134
2 − 1.130 − 2.142 − 2.623 − 1.275 − 2.292 1.401 1.078 0.235 − 0.143 − 4.562
3 − 2.100 − 0.744 − 0.804 − 1.371 − 1.667 3.724 2.986 − 1.279 − 1.493 − 6.585
4 − 2.315 − 2.638 − 1.028 − 1.306 − 4.957 0.849 0.750 0.754 − 1.788 − 4.330
Big − 3.471 − 1.548 − 1.539 0.554 − 5.859 3.158 1.423 − 0.039 − 2.519 − 5.657
Panel D MC_TAM
  a RM
Low 2 3 4 High Low 2 3 4 High
Small 0.003 0.014 0.009 0.004 − 0.004 1.317 0.845 0.673 0.962 0.934
2 0.005 0.006 0.002 − 0.001 − 0.001 1.170 0.989 0.982 0.938 0.935
3 − 0.003 0.001 0.008 − 0.002 0.002 1.212 1.037 1.031 1.085 0.901
4 0.005 0.000 0.007 0.004 0.007 1.158 0.837 0.867 0.891 0.923
Big 0.009 0.005 0.003 0.008 0.003 0.947 1.264 1.069 0.956 0.985
  S L
Low 2 3 4 High Low 2 3 4 High
Small 1.544 0.900 1.717 1.135 0.817 0.152 0.581 0.277 0.294 0.643
2 0.814 0.798 0.399 0.741 0.269 0.234 0.047 0.238 0.570 0.264
3 1.031 0.348 0.298 0.221 0.021 − 0.070 0.035 − 0.141 0.286 0.324
4 0.388 0.149 0.168 − 0.245 0.160 − 0.224 0.296 0.143 0.392 0.035
Big − 0.166 0.018 0.060 − 0.231 0.028 − 0.345 − 0.281 0.009 0.064 − 0.325
  R T
Low 2 3 4 High Low 2 3 4 High
Small 0.104 − 0.105 − 1.180 − 0.051 0.383 0.357 − 0.005 − 1.397 0.140 0.285
2 − 0.435 − 0.490 − 0.062 0.174 − 0.063 0.033 0.009 0.207 0.096 0.091
3 − 0.312 − 0.264 − 0.278 − 0.241 − 0.081 0.074 0.183 0.002 − 0.458 0.039
4 − 0.546 − 0.072 − 0.273 − 0.193 0.060 0.000 0.124 − 0.410 − 0.095 0.098
Big − 0.630 − 0.432 − 0.137 − 0.147 − 0.254 − 0.092 − 0.342 − 0.116 − 0.011 − 0.017
  t(a) t(RM)
Low 2 3 4 High Low 2 3 4 High
Small 0.637 2.478 0.981 0.837 − 0.896 19.324 10.802 5.219 14.804 15.251
2 0.914 1.357 0.457 − 0.338 − 0.223 16.360 17.119 16.745 16.075 16.655
3 − 0.680 0.241 1.880 − 0.579 0.632 18.807 18.607 18.885 18.519 18.273
4 1.151 0.026 1.731 1.158 1.964 18.841 16.329 15.398 18.368 19.411
Big 1.907 1.329 0.943 3.020 1.250 14.882 25.835 22.560 25.124 27.341
  t(s) t(l)
Low 2 3 4 High Low 2 3 4 High
Small 10.232 5.194 6.015 7.886 6.028 0.871 2.895 0.837 1.762 4.093
2 5.146 6.241 3.078 5.738 2.164 1.274 0.317 1.580 3.807 1.832
3 7.232 2.826 2.469 1.702 0.195 − 0.423 0.247 − 1.007 1.906 2.558
4 2.850 1.310 1.349 − 2.286 1.516 − 1.422 2.252 0.992 3.153 0.291
Big − 1.177 0.163 0.572 − 2.747 0.349 − 2.112 − 2.241 0.071 0.657 − 3.519
  t(r) t(T)
Low 2 3 4 High Low 2 3 4 High
Small 0.535 − 0.470 − 3.218 − 0.275 2.201 2.008 − 0.027 − 4.151 0.825 1.785
2 − 2.142 − 2.981 − 0.372 1.047 − 0.394 0.175 0.059 1.354 0.628 0.621
3 − 1.704 − 1.667 − 1.789 − 1.446 − 0.575 0.440 1.262 0.016 − 2.999 0.306
4 − 3.125 − 0.494 − 1.708 − 1.399 0.446 − 0.002 0.928 − 2.794 − 0.749 0.794
Big − 3.483 − 3.105 − 1.021 − 1.355 − 2.478 − 0.557 − 2.680 − 0.940 − 0.115 − 0.184
Panel E R2
  MC_PB MC_ROE
Low 2 3 4 High Low 2 3 4 High
Small 0.740 0.744 0.762 0.789 0.777 0.768 0.452 0.733 0.771 0.741
2 0.571 0.734 0.757 0.801 0.794 0.770 0.782 0.762 0.764 0.768
3 0.827 0.829 0.747 0.832 0.799 0.768 0.810 0.792 0.790 0.817
4 0.854 0.780 0.845 0.818 0.778 0.798 0.800 0.774 0.747 0.799
Big 0.876 0.888 0.908 0.881 0.856 0.882 0.884 0.886 0.850 0.832
  MC_TA MC_TAM
Low 2 3 4 High Low 2 3 4 High
Small 0.800 0.782 0.757 0.467 0.730 0.763 0.613 0.484 0.693 0.694
2 0.799 0.748 0.797 0.753 0.753 0.749 0.763 0.727 0.728 0.732
3 0.851 0.771 0.845 0.815 0.750 0.759 0.766 0.757 0.792 0.784
4 0.736 0.816 0.802 0.827 0.782 0.771 0.738 0.725 0.815 0.754
Big 0.833 0.834 0.902 0.890 0.884 0.705 0.863 0.824 0.865 0.863