2012.05.10 - Fama-French Risk
13 pág.

2012.05.10 - Fama-French Risk


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l
en
gt
h 
(Y
ea
rs
) 
is
 e
st
im
at
ed
 a
s 
th
e 
pr
ob
ab
ili
ty
 t
o 
th
e 
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ft 
of
 M
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s(
M
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 f
ro
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ni
t 
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al
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tio
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 W
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rta
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ty
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ut
 t
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 t
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e 
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pe
ct
ed
 p
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r 
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ty
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 re
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ot
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m
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f t
he
 v
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e 
of
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e 
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er
ag
e 
re
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rn
 
if 
w
e 
kn
ew
 th
e 
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e 
ex
pe
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 p
re
m
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m
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nd
 th
e 
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ria
nc
e 
of
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ur
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st
im
at
e 
of
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e 
pr
em
iu
m
. S
in
ce
 w
e 
as
su
m
e 
w
e 
us
e 
50
 y
ea
rs
 to
 e
st
im
at
e 
th
e 
ex
pe
ct
ed
 v
al
ue
, t
he
 v
ar
ia
nc
e 
of
 o
ur
 e
st
im
at
e 
is
 th
e 
sq
ua
re
 o
f s
(M
ea
n)
 a
t 5
0 
ye
ar
s. 
 Y
ea
rs
 
1 
5 
10
 
15
 
20
 
25
 
50
 
1/
sq
rt(
Y
ea
rs
) 
1.
00
 
0.
45
 
0.
32
 
0.
26
 
0.
22
 
0.
20
 
0.
14
 
Eq
ui
ty
 P
re
m
iu
m
, R
M
 \u2013
 R
F 
s(
M
ea
n)
 
17
.8
5 
7.
98
 
5.
65
 
4.
61
 
3.
99
 
3.
57
 
2.
53
 
M
ea
n/
s(
M
ea
n)
 
0.
33
 
0.
74
 
1.
05
 
1.
29
 
1.
49
 
1.
67
 
2.
35
 
Pr
ob
 <
 0
, E
(R
M
-R
F)
 =
 5
.9
5%
 
37
.0
%
 
22
.8
%
 
14
.6
%
 
9.
9%
 
6.
8%
 
4.
8%
 
0.
9%
 
Pr
ob
 <
 0
, E
(R
M
-R
F)
 u
nc
er
ta
in
 3
7.
1%
 
23
.9
%
 
16
.8
%
 
12
.9
%
 
10
.4
%
 
8.
7%
 
4.
8%
 
Si
ze
 P
re
m
iu
m
, S
M
B
 
s(
M
ea
n)
 
14
.1
6 
6.
33
 
4.
48
 
3.
66
 
3.
17
 
2.
83
 
2.
00
 
M
ea
n/
s(
M
ea
n)
 
0.
26
 
0.
58
 
0.
82
 
1.
01
 
1.
16
 
1.
30
 
1.
84
 
Pr
ob
 <
 0
, E
(S
M
B
) =
 3
.6
9%
 
39
.7
%
 
28
.0
%
 
20
.5
%
 
15
.7
%
 
12
.2
%
 
9.
7%
 
3.
3%
 
Pr
ob
 <
 0
, E
(S
M
B
) u
nc
er
ta
in
 
39
.8
%
 
28
.9
%
 
22
.6
%
 
18
.8
%
 
16
.3
%
 
14
.4
%
 
9.
7%
 
V
al
ue
 P
re
m
iu
m
, H
M
L 
s(
M
ea
n)
 
13
.9
4 
6.
24
 
4.
41
 
3.
60
 
3.
12
 
2.
79
 
1.
97
 
M
ea
n/
s(
M
ea
n)
 
0.
38
 
0.
85
 
1.
20
 
1.
47
 
1.
70
 
1.
90
 
2.
68
 
Pr
ob
 <
 0
, E
(H
M
L)
 =
 5
.2
9%
 
35
.2
%
 
19
.8
%
 
11
.5
%
 
7.
1%
 
4.
5%
 
2.
9%
 
0.
4%
 
Pr
ob
 <
 0
, E
(H
M
L)
 u
nc
er
ta
in
 
35
.4
%
 
20
.9
%
 
13
.7
%
 
9.
9%
 
7.
6%
 
6.
1%
 
2.
9%
 
 
13
 
  
A
pp
en
di
x 
Ta
bl
e 
A
1:
 A
nn
ua
l R
et
ur
ns
, 1
96
3\u2013
20
11
: 4
9 
Y
ea
rs
 
 
R
M
 
SG
 
SN
 
SV
 
B
G
 
B
N
 
B
V
 
R
M
-R
F 
SM
B
 
H
M
L 
R
F 
19
63
 
20
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9 
7.
54
 
16
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2 
29
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8 
21
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5 
17
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8 
32
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2 
17
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8 
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4 
16
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1 
3.
11
 
19
64
 
16
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0 
8.
64
 
17
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3 
23
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7 
14
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1 
19
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9 
19
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5 
12
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8 
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7 
9.
98
 
3.
53
 
19
65
 
14
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9 
34
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1 
33
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4 
42
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6 
14
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0 
8.
38
 
22
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1 
10
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7 
21
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3 
7.
53
 
3.
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19
66
 
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9 
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0 
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7 
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0.
78
 
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93
 
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3.
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2.
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4 
4.
75
 
19
67
 
28
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6 
90
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9 
71
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3 
68
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3 
28
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1 
15
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9 
32
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0 
24
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5 
51
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8 
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3 
4.
21
 
19
68
 
14
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6 
32
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2 
40
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5 
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2 
3.
84
 
15
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1 
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2 
8.
94
 
24
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7 
18
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9 
5.
22
 
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4.
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76
 
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5.
39
 
2.
56
 
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6.
79
 
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6.
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42
 
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04
 
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57
 
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44
 
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10
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6.
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17
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7.
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21
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9 
11
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8 
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8.
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7 
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5.
68
 
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7 
6.
93
 
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74
 
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7.
94
 
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2.
41
 
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85
 
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8.
61
 
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9.
21
 
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2.
82
 
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3.
22
 
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9.
89
 
8.
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37
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5 
60
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2 
58
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2 
34
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33
 
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26
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7 
38
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3 
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18
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7 
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5 
0.
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19
 
19
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9 
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1 
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80
 
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6 
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2 
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1 
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9.
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13
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2 
10
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19
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1 
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4 
14
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0 
27
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3 
13
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7 
13
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5 
20
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2 
8.
80
 
19
84
 
3.
17
 
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3.
83
 
2.
55
 
8.
32
 
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2 
5.
68
 
16
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0 
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7 
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7 
19
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9.
84
 
19
85
 
31
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1 
29
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6 
35
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2 
32
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1 
32
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9 
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0 
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0.
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0.
86
 
7.
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15
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10
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14
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14
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20
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1 
21
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2 
9.
40
 
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2 
9.
28
 
6.
16
 
19
87
 
1.
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3.
33
 
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5 
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2 
7.
57
 
3.
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4 
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6 
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0.
91
 
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0 
5.
47
 
19
88
 
17
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6 
14
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1 
28
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1 
31
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6 
12
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17
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7 
26
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11
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0 
5.
89
 
14
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2 
6.
36
 
19
89
 
28
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2 
19
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4 
17
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1 
17
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35
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3 
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30
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20
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38
 
19
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35
 
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7.
91
 
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3.
63
 
0.
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4 
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2.
97
 
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3.
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4.
02
 
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84
 
19
91
 
33
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3 
53
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40
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22
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22
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68
 
5.
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5 
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5 
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0.
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01
 
2.
60
 
1.
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2 
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8 
3.
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19
95
 
35
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7 
29
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0 
28
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33
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4 
37
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39
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5.
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19
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21
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5 
9.
61
 
22
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7 
24
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22
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14
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2 
15
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5 
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8 
3.
19
 
5.
20
 
19
97
 
30
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3 
10
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5 
32
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2 
38
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3 
30
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0 
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27
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4 
25
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8 
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8 
12
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1 
5.
25
 
19
98
 
22
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8 
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8 
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9 
39
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5 
7.
99
 
21
.0
6 
17
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2 
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5.
54
 
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6 
4.
85
 
19
99
 
25
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3 
47
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9 
21
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7 
7.
29
 
27
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5 
6.
27
 
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4 
20
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4 
14
.8
9 
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4.
24
 
4.
69
 
20
00
 
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1.
08
 
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3.
15
 
19
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7 
23
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4 
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3.
45
 
16
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7 
20
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3 
-1
6.
96
 
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7 
40
.0
4 
5.
88
 
20
01
 
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1.
27
 
0.
03
 
16
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8 
22
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3 
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4.
67
 
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5 
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2 
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5.
13
 
18
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0 
18
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8 
3.
86
 
20
02
 
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0.
85
 
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1.
95
 
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1.
44
 
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8 
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2.
58
 
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5.
55
 
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5.
09
 
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2.
48
 
3.
59
 
10
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8 
1.
63
 
20
03
 
33
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4 
54
.8
1 
50
.0
9 
64
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1 
27
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3 
30
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5 
27
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4 
32
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2 
27
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9 
4.
80
 
1.
02
 
20
04
 
12
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9 
15
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3 
20
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0 
21
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6 
7.
53
 
14
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9 
20
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6 
11
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0 
4.
94
 
9.
53
 
1.
19
 
20
05
 
7.
33
 
-0
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2 
8.
52
 
9.
45
 
4.
07
 
7.
96
 
12
.0
0 
4.
35
 
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.0
9 
8.
80
 
2.
98
 
20
06
 
16
.2
1 
8.
88
 
22
.2
5