Rm-Rf

AcronymDefinition
Rm-RfMarket Return Minus Risk-Free Return (finance)
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Where a, b, s, h are the regression coefficients and RM-RF, SMB, and HML are explanatory risk factors, as described above.
Fama and French (1993) conclude that the factors RM-RF, SMB, and HML are significant to explain portfolio returns, and they add explanatory power to the asset pricing models, measured by significantly higher [R.
Periodo: de julho de 1995 a junho de 2007 Painel A: periodos de baixa do mercado acionario N = 53 observacoes Rm-Rf SMB HML WinMLos Media -6,39% 3,20% 0,63% 0,50% Desvio-padrao 7,15% 5,36% 4,58% 4,22% t -6,50 4,34 0,99 0,86 p-value de t 0,00% 0,00% 32,50% 39,20% Painel B: periodos de alta do mercado acionario N = 91 observacoes Rm-Rf SMB HML WinMLos Media 6,38% -1,81% 1,55% -0,38% Desvio-padrao 5,09% 5,45% 6,35% 4,63% t 11,97 -3,16 2,33 -0,78 p-value de t 0,00% 0,20% 2,20% 43,90% Fonte: Elaborada pelos autores