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

Table 8 Summary of GRS test results for all the Factor models

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

Fama–French three-factor GRS F-statistics p value Average absolute alpha value Average R2 (%)
MC_PB* 1.754 0.026 0.003 78.7
MC_ROE* 2.303 0.001 0.004 76.4
MC_TA* 1.673 0.045 0.003 76.6
MC_TAM 1.227 0.228 0.003 73.9
Fama–French five-factor
 MC_PB* 1.640 0.039 0.004 79.9
 MC_ROE* 1.766 0.021 0.004 78.2
 MC_TA* 1.594 0.050 0.004 78.9
 MC_TAM 1.475 0.084 0.004 74.9
Modified five-factor with human asset
 MC_PB 1.514 0.054 0.004 80.1
 MC_ROE 1.532 0.052 0.004 77.9
 MC_TA* 1.589 0.050 0.004 78
 MC_TAM 1.497 0.076 0.004 75.9
  1. * Significant @ 5% level