Table 5 Test of the CAPM and four-moment CAPM based on 25 ME/BM portfolios Panel A: 1930-2010 MODELS smb hml CAPM 0.0075 -0.0001 (3.55)*** (0.02) Adjusted 0.0068 -0.0000 50.31 -0.0033 -0.0009 CAPM (3.08)*** (-0.01) (0.89) (-0.46) (-0.14) 0.0091 -0.0026 16.37 0.0001 0.0013 0.0021 4-moment (4.69)*** (-1.22) (0.30) (0.02) (1.23) (1.73)* CAPM+FF FF 0.0094 -0.0030 0.0012 0.0038 (5.35)*** (-1.58) (1.21) (3.82)**** Panel B: 1980-2010 MODELS smb hml CAPM 0.0107 -0.0042 (2.73)*** (-0.91) 0.0107 -0.0049 -4.44 -0.0055 -0.0063 Adjusted (2.75)*** (-1.16) (-0.04) (-0.40) (-0.61) CAPM 0.0143 -0.0084 34.34 0.0091 -0.0007 0.0003 4-moment (4.36)*** (-2.37)** (0.34) (-0.36) (0.11) CAPM+FF 0.0124 -0.0067 0.0000 0.0032 FF (3.92)*** (-1.91)* (0.03) (1.71)*
Table 5 Test of the CAPM and four-moment CAPM based on 25 ME/BM portfolios Panel A: 1930-2010 MODELS smb hml CAPM 0.0075 (3.55)*** -0.0001 (0.02) Adjusted CAPM 0.0068 (3.08)*** -0.0000 (-0.01) 50.31 (0.89) -0.0033 (-0.46) -0.0009 (-0.14) 4-moment CAPM+FF 0.0091 (4.69)*** -0.0026 (-1.22) 16.37 (0.30) 0.0001 (0.02) 0.0013 (1.23) 0.0021 (1.73)* FF 0.0094 (5.35)*** -0.0030 (-1.58) 0.0012 (1.21) 0.0038 (3.82)**** Panel B: 1980-2010 MODELS smb hml CAPM 0.0107 (2.73)*** -0.0042 (-0.91) Adjusted CAPM 0.0107 (2.75)*** -0.0049 (-1.16) -4.44 (-0.04) -0.0055 (-0.40) -0.0063 (-0.61) 4-moment CAPM+FF 0.0143 (4.36)*** -0.0084 (-2.37)** 34.34 (0.34) 0.0091 -0.0007 (-0.36) 0.0003 (0.11) FF 0.0124 (3.92)*** -0.0067 (-1.91)* 0.0000 (0.03) 0.0032 (1.71)*
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