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

Journal of Economic Structures

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

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