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    This document contains the results of a covariance analysis on stock returns and factors from February 2023 to January 2024 using a balanced sample of 250 observations. It reports the covariance and correlation between the returns, market risk premium, size, value, profitability, and investment factors along with a risk-free rate.

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    This document contains the results of a covariance analysis on stock returns and factors from February 2023 to January 2024 using a balanced sample of 250 observations. It reports the covariance and correlation between the returns, market risk premium, size, value, profitability, and investment factors along with a risk-free rate.

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    © All Rights Reserved
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    3 views2 pages

    Dbs 3

    Uploaded by

    wongweiwen77
    This document contains the results of a covariance analysis on stock returns and factors from February 2023 to January 2024 using a balanced sample of 250 observations. It reports the covariance and correlation between the returns, market risk premium, size, value, profitability, and investment factors along with a risk-free rate.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
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    of 2

    Covariance Analysis: Ordinary

    Date: 03/22/24 Time: 16:31


    Sample: 2/02/2023 1/30/2024
    Included observations: 250
    Balanced sample (listwise missing value deletion)

    Covariance
    Correlation RETURNS MKT_RF SMB HML RMW CMA RF
    RETURNS 7.54E-05
    1.000000

    MKT_RF 0.002501 0.657819


    0.355154 1.000000

    SMB -0.001335 -0.230578 0.159853


    -0.384474 -0.711056 1.000000

    HML 0.000204 -0.173754 0.027314 0.165046


    0.057745 -0.527325 0.168158 1.000000

    RMW -0.000165 0.061071 -0.009965 -0.061529 0.181286


    -0.044596 0.176848 -0.058539 -0.355710 1.000000

    CMA 0.000369 -0.075702 -0.012360 0.082591 -0.074858 0.150390


    0.109522 -0.240681 -0.079716 0.524228 -0.453363 1.000000

    RF -5.78E-37 2.47E-34 -2.47E-35 0.000000 -1.48E-34 2.47E-35 0.000000


    NA NA NA NA NA NA NA

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