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

Table 6 Regression results of Modified Five-Factor Model with human asset for 25 portfolios RPt − RFt = a + b (RMt − RFt) + s SMBt + l LMHt + p RMWt + h CvMAvt + 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 0.007 0.009 0.011 0.002 − 0.001 0.950 1.017 1.034 0.971 1.093
2 0.010 0.003 0.001 − 0.004 0.004 0.833 0.987 0.886 1.017 0.977
3 − 0.004 − 0.001 − 0.001 0.001 0.003 1.099 1.145 0.930 1.123 0.957
4 − 0.003 0.002 0.010 0.003 0.005 1.021 0.896 1.145 1.062 0.814
Big 0.004 0.001 0.003 0.007 0.002 0.984 1.097 1.014 1.100 0.883
  S L
Low 2 3 4 High Low 2 3 4 High
Small 1.157 1.047 0.828 1.109 1.262 1.128 0.402 0.045 0.014 − 0.458
2 1.634 0.613 0.660 0.902 0.557 0.629 0.106 0.186 0.015 − 0.333
3 0.666 0.475 0.463 0.439 0.304 0.582 0.287 0.114 − 0.100 − 0.088
4 − 0.248 − 0.208 − 0.345 0.103 0.133 1.098 0.553 − 0.120 − 0.144 − 0.261
Big − 0.374 − 0.400 − 0.308 − 0.223 0.140 0.924 0.462 0.293 − 0.162 − 0.449
  R h
Low 2 3 4 High Low 2 3 4 High
Small 0.641 − 0.012 − 0.175 − 0.060 − 0.375 0.665 0.410 0.320 0.197 − 0.095
2 − 1.033 − 0.409 − 0.120 − 0.171 − 0.231 − 0.458 0.358 0.315 − 0.031 0.158
3 − 0.296 − 0.233 − 0.233 − 0.045 0.036 0.017 0.227 − 0.126 0.073 0.130
4 − 0.029 − 0.143 − 0.466 − 0.100 − 0.041 0.151 0.258 0.475 0.391 0.271
Big − 0.095 − 0.213 − 0.013 − 0.134 − 0.228 0.025 − 0.014 0.049 0.094 0.087
  t(a) t(RM)
Low 2 3 4 High Low 2 3 4 High
Small 1.543 1.924 2.535 0.635 − 0.284 13.802 15.171 17.172 19.059 19.974
2 1.006 0.582 0.314 − 1.089 1.221 6.094 14.510 16.288 20.033 20.538
3 − 0.854 − 0.280 − 0.235 0.251 0.842 17.952 20.050 16.908 22.639 20.965
4 − 0.724 0.423 2.464 0.839 1.608 17.293 14.842 20.224 21.469 19.427
Big 1.093 0.371 1.032 2.522 1.004 19.383 23.261 28.576 26.745 25.836
  t(s) t(l)
Low 2 3 4 High Low 2 3 4 High
Small 7.459 6.935 6.107 9.664 10.241 6.505 2.380 0.294 0.109 − 3.322
2 5.309 3.999 5.385 7.892 5.195 1.826 0.618 1.359 0.114 − 2.777
3 4.832 3.693 3.734 3.928 2.958 3.774 1.997 0.819 − 0.797 − 0.764
4 − 1.867 − 1.529 − 2.705 0.924 1.408 7.382 3.635 − 0.840 − 1.157 − 2.471
Big − 3.268 − 3.766 − 3.857 − 2.411 1.815 7.221 3.891 3.272 − 1.563 − 5.214
  t(r) t(h)
Low 2 3 4 High Low 2 3 4 High
Small 3.450 − 0.067 − 1.079 − 0.438 − 2.540 4.217 2.670 2.320 1.684 − 0.759
2 − 2.800 − 2.227 − 0.820 − 1.250 − 1.795 − 1.461 2.295 2.529 − 0.269 1.453
3 − 1.792 − 1.509 − 1.571 − 0.334 0.289 0.122 1.731 − 1.000 0.645 1.240
4 − 0.179 − 0.878 − 3.051 − 0.751 − 0.365 1.115 1.865 3.657 3.449 2.821
Big − 0.690 − 1.669 − 0.137 − 1.211 − 2.470 0.211 − 0.129 0.607 0.994 1.114
Panel B MC_ROE
  a b
Low 2 3 4 High Low 2 3 4 High
Small 0.007 0.017 0.004 0.003 0.004 1.013 0.727 0.964 1.030 1.082
2 − 0.003 0.000 0.002 − 0.003 0.003 1.041 0.983 0.982 1.095 1.065
3 − 0.003 0.004 0.000 − 0.003 0.005 0.979 1.043 1.054 1.016 0.966
4 − 0.002 0.001 0.009 0.008 0.010 1.049 0.938 0.917 0.915 0.873
Big 0.002 − 0.001 0.005 0.004 0.003 1.073 1.076 1.018 0.983 0.996
  S L
Low 2 3 4 High Low 2 3 4 High
Small 1.542 1.212 1.014 1.108 1.241 0.471 0.218 0.481 0.606 0.277
2 0.791 0.549 0.622 0.972 0.668 0.455 0.289 − 0.036 − 0.046 0.193
3 0.379 0.145 0.222 0.451 0.020 0.364 − 0.137 0.292 0.474 0.267
4 0.068 − 0.143 − 0.228 − 0.194 0.234 − 0.045 0.429 0.171 0.192 − 0.213
Big − 0.301 − 0.277 − 0.138 − 0.071 − 0.051 0.027 0.088 − 0.084 − 0.144 − 0.010
  R h
Low 2 3 4 High Low 2 3 4 High
Small − 0.185 − 1.324 0.032 0.508 0.497 0.288 − 0.124 0.193 0.187 0.288
2 − 0.451 − 0.349 − 0.280 0.028 0.238 0.135 0.268 0.072 − 0.112 − 0.081
3 − 0.509 − 0.752 0.062 0.261 0.350 0.541 0.168 0.175 − 0.057 0.438
4 − 0.837 − 0.320 − 0.240 0.080 − 0.015 0.304 0.221 0.142 0.228 0.156
Big − 0.625 − 0.487 − 0.390 − 0.148 0.256 0.156 0.110 − 0.067 0.119 0.125
  t(a) t(b)
Low 2 3 4 High Low 2 3 4 High
Small 1.502 1.430 0.872 0.772 0.928 14.323 4.186 14.738 17.767 17.609
2 − 0.565 0.050 0.431 − 0.681 0.917 14.486 16.084 17.441 19.352 19.736
3 − 0.674 1.052 − 0.081 − 0.853 1.698 14.103 17.653 18.884 18.775 21.662
4 − 0.397 0.203 2.332 2.153 3.398 15.977 15.427 16.143 16.296 21.330
Big 0.754 − 0.280 1.776 1.458 0.873 22.691 23.645 26.214 23.062 23.150
  t(s) t(l)
Low 2 3 4 High Low 2 3 4 High
Small 9.679 3.097 6.881 8.484 8.969 2.643 0.498 2.921 4.146 1.789
2 4.886 3.990 4.901 7.630 5.501 2.514 1.876 − 0.257 − 0.322 1.419
3 2.426 1.087 1.762 3.702 0.199 2.080 − 0.919 2.074 3.477 2.374
4 0.458 − 1.044 − 1.785 − 1.531 2.539 − 0.273 2.797 1.197 1.355 − 2.061
Big − 2.826 − 2.700 − 1.579 − 0.741 − 0.521 0.223 0.764 − 0.862 − 1.345 − 0.091
  t(r) t(h)
Low 2 3 4 High Low 2 3 4 High
Small − 0.971 − 2.821 0.181 3.243 2.997 1.779 − 0.311 1.285 1.404 2.044
2 − 2.323 − 2.113 − 1.844 0.181 1.636 0.820 1.912 0.555 − 0.861 − 0.654
3 − 2.715 − 4.714 0.409 1.788 2.903 3.399 1.241 1.365 − 0.459 4.281
4 − 4.726 − 1.948 − 1.566 0.529 − 0.137 2.018 1.582 1.092 1.774 1.666
Big − 4.895 − 3.964 − 3.721 − 1.284 2.204 1.439 1.052 − 0.755 1.220 1.270
Panel C MC_TA
  a b
Low 2 3 4 High Low 2 3 4 High
Small 0.009 0.005 0.001 0.017 0.003 0.968 1.034 1.007 0.829 1.056
2 0.001 0.001 0.000 0.001 0.001 1.025 0.991 0.940 0.912 1.087
3 − 0.001 − 0.002 − 0.004 0.000 − 0.005 1.039 0.935 1.126 1.064 1.096
4 0.003 0.007 0.007 0.003 0.008 0.986 0.951 0.955 0.978 1.148
Big 0.007 0.005 0.001 0.007 0.001 0.934 0.856 0.991 1.005 1.105
  S L
Low 2 3 4 High Low 2 3 4 High
Small 1.393 1.063 0.918 1.467 1.292 0.249 0.547 0.524 0.166 0.667
2 0.590 0.608 0.639 0.428 0.809 0.434 0.077 0.160 0.269 0.169
3 0.555 0.306 0.322 0.039 0.487 0.186 0.187 0.212 0.203 0.415
4 0.069 − 0.115 − 0.037 − 0.015 − 0.280 − 0.078 0.087 0.237 0.275 − 0.214
Big 0.023 − 0.038 − 0.135 − 0.387 − 0.185 − 0.287 0.028 − 0.027 0.338 − 0.222
  R h
Low 2 3 4 High Low 2 3 4 High
Small − 0.278 0.019 0.087 − 0.970 0.383 0.450 0.598 0.372 − 0.508 0.393
2 − 0.155 − 0.342 − 0.368 − 0.171 − 0.130 0.254 0.211 0.047 0.041 − 0.043
3 − 0.373 − 0.201 − 0.018 0.006 0.139 0.213 0.177 0.065 0.298 0.023
4 − 0.348 − 0.289 − 0.122 − 0.082 − 0.369 0.243 0.270 0.144 0.010 0.620
Big − 0.540 − 0.327 − 0.124 0.240 − 0.305 0.040 − 0.240 0.031 0.210 0.324
  t(a) t(b)
Low 2 3 4 High Low 2 3 4 High
Small 2.086 1.066 0.116 1.572 0.641 15.137 16.100 15.723 5.385 14.610
2 0.204 0.325 0.112 0.363 0.135 17.303 15.719 17.718 16.027 15.933
3 − 0.262 − 0.568 − 1.140 − 0.098 − 0.930 20.169 16.257 22.939 20.032 14.357
4 0.688 1.925 1.928 0.827 1.633 15.551 18.772 18.313 20.050 16.423
Big 2.138 1.672 0.293 2.641 0.344 20.259 21.547 29.695 26.274 24.082
  t(s) t(l)
Low 2 3 4 High Low 2 3 4 High
Small 9.668 7.349 6.364 4.232 7.934 1.547 3.380 3.247 0.428 3.664
2 4.421 4.282 5.345 3.341 5.264 2.907 0.482 1.199 1.878 0.984
3 4.782 2.362 2.908 0.327 2.834 1.432 1.290 1.712 1.517 2.157
4 0.485 − 1.005 − 0.314 − 0.133 − 1.781 − 0.489 0.683 1.802 2.237 − 1.213
Big 0.224 − 0.421 − 1.803 − 4.493 − 1.792 − 2.472 0.278 − 0.319 3.504 − 1.918
  t(r) t(h)
Low 2 3 4 High Low 2 3 4 High
Small − 1.609 0.108 0.503 − 2.334 1.961 3.068 4.063 2.533 − 1.440 2.371
2 − 0.967 − 2.012 − 2.568 − 1.110 − 0.703 1.872 1.458 0.388 0.313 − 0.273
3 − 2.682 − 1.296 − 0.133 0.042 0.676 1.808 1.346 0.574 2.444 0.131
4 − 2.034 − 2.113 − 0.868 − 0.622 − 1.956 1.674 2.323 1.206 0.086 3.870
Big − 4.336 − 3.046 − 1.379 2.326 − 2.463 0.376 − 2.634 0.405 2.391 3.086
Panel D MC_TAM
  a b
Low 2 3 4 High Low 2 3 4 High
Small 0.000 0.011 0.010 0.005 − 0.002 1.138 0.691 0.912 1.002 1.006
2 0.002 0.005 0.002 0.000 − 0.001 1.027 0.944 0.954 0.969 0.938
3 − 0.006 0.001 0.007 − 0.003 0.002 1.079 0.995 0.995 1.142 0.905
4 0.003 0.000 0.006 0.004 0.008 1.077 0.796 0.873 0.912 0.976
Big 0.007 0.003 0.002 0.009 0.004 0.864 1.212 1.048 0.969 1.011
  S L
Low 2 3 4 High Low 2 3 4 High
Small 1.229 0.504 1.769 1.292 1.114 0.402 0.895 0.237 0.169 0.407
2 0.464 0.686 0.412 0.858 0.314 0.512 0.136 0.227 0.478 0.228
3 0.724 0.316 0.207 0.184 0.046 0.174 0.061 − 0.068 0.316 0.304
4 0.181 0.094 0.019 − 0.228 0.333 − 0.060 0.339 0.262 0.379 − 0.103
Big − 0.416 − 0.250 − 0.039 − 0.205 0.087 − 0.146 − 0.068 0.087 0.043 − 0.372
  R h
Low 2 3 4 High Low 2 3 4 High
Small 0.361 0.305 − 0.967 − 0.240 0.022 0.934 0.958 − 0.791 − 0.316 − 0.585
2 − 0.079 − 0.375 − 0.115 0.035 − 0.127 0.867 0.278 0.067 − 0.237 − 0.067
3 − 0.009 − 0.265 − 0.183 − 0.115 − 0.114 0.781 0.167 0.223 − 0.129 − 0.041
4 − 0.332 − 0.039 − 0.041 − 0.193 − 0.138 0.501 0.191 0.166 − 0.087 − 0.375
Big − 0.354 − 0.090 − 0.013 − 0.172 − 0.312 0.564 0.488 0.185 − 0.070 − 0.152
  t(a) t(b)
Low 2 3 4 High Low 2 3 4 High
Small 0.092 2.066 1.032 1.112 − 0.372 17.528 9.182 6.493 14.802 16.266
2 0.380 1.141 0.463 − 0.116 − 0.137 14.907 15.710 15.380 15.890 15.869
3 − 1.340 0.159 1.693 − 0.599 0.682 17.380 16.959 17.466 18.046 17.422
4 0.791 − 0.107 1.422 1.201 2.443 17.291 14.824 14.429 17.864 20.151
Big 1.519 0.750 0.714 3.091 1.448 13.468 24.320 21.128 24.206 26.912
  t(s) t(l)
Low 2 3 4 High Low 2 3 4 High
Small 8.407 2.976 5.592 8.473 7.997 2.457 4.721 0.669 0.990 2.613
2 2.991 5.069 2.951 6.245 2.359 2.949 0.902 1.452 3.109 1.529
3 5.177 2.389 1.612 1.291 0.392 1.112 0.414 − 0.476 1.982 2.324
4 1.292 0.779 0.142 − 1.984 3.055 − 0.383 2.507 1.719 2.943 − 0.841
Big − 2.883 − 2.227 − 0.350 − 2.274 1.029 − 0.904 − 0.543 0.700 0.427 − 3.934
  t(r) t(h)
Low 2 3 4 High Low 2 3 4 High
Small 2.059 1.502 − 2.550 − 1.315 0.130 6.278 5.552 − 2.457 − 2.035 − 4.129
2 − 0.426 − 2.312 − 0.687 0.213 − 0.796 5.487 2.017 0.470 − 1.696 − 0.493
3 − 0.051 − 1.673 − 1.192 − 0.675 − 0.810 5.489 1.241 1.712 − 0.889 − 0.345
4 − 1.976 − 0.271 − 0.251 − 1.396 − 1.057 3.513 1.555 1.199 − 0.742 − 3.381
Big − 2.042 − 0.666 − 0.095 − 1.591 − 3.074 3.841 4.268 1.631 − 0.761 − 1.768
Panel E R2
  MC_PB MC_ROE
Low 2 3 4 High Low 2 3 4 High
Small 0.766 0.755 0.768 0.791 0.777 0.767 0.376 0.736 0.770 0.748
2 0.535 0.742 0.765 0.795 0.794 0.768 0.787 0.759 0.756 0.767
3 0.824 0.832 0.749 0.821 0.797 0.784 0.811 0.794 0.777 0.833
4 0.855 0.785 0.847 0.828 0.782 0.803 0.795 0.775 0.752 0.802
Big 0.876 0.886 0.908 0.880 0.857 0.883 0.885 0.886 0.844 0.830
  MC_TA MC_TAM
Low 2 3 4 High Low 2 3 4 High
Small 0.785 0.798 0.766 0.370 0.732 0.806 0.677 0.448 0.699 0.719
2 0.801 0.750 0.797 0.753 0.719 0.790 0.769 0.724 0.732 0.732
3 0.841 0.761 0.843 0.819 0.680 0.798 0.766 0.762 0.781 0.784
4 0.740 0.821 0.803 0.823 0.777 0.788 0.740 0.714 0.815 0.770
Big 0.822 0.839 0.902 0.890 0.868 0.730 0.872 0.826 0.866 0.866