Table 2 List of Fama-French factors
From: The impact of FinTech start-ups on incumbent retail banks’ share prices
Variable | Explanation |
|---|---|
RMRF | The excess return of the market portfolio |
SMB | The average returns on the small stock portfolios minus the average returns on the big stock portfolios (Small Minus Big) |
HML | The average returns on the high book-to-market ratio portfolios minus the average returns on the low book-to-market portfolios (High Minus Low) |
RMW | The average returns on the robust operating profitability portfolios minus the average returns on the weak operating profitability portfolios (Robust Minus Weak) |
CMA | The average returns on the conservative investment portfolios minus the average returns on the aggressive investment portfolios (Conservative Minus Aggressive) |