Six-factor plus intellectual capital in the capital asset pricing model and excess stock return: Empirical evidence in emerging stock markets

Figures & data

Figure 1. Empirical Model.

Table 1. Information sample Companies

Year	Listed Companies	Minus		Sample Companies
		Delisting Companies	Companies with Incomplete Financial Data
2012	450	(4)	(7)	439
2013	472	(7)	(6)	459
2014	494	(2)	(7)	485
2015	514	(3)	(3)	508
2016	533	(4)	(2)	527
2017	559	(8)	(1)	550
2018	619	(4)	(4)	611
2019	688	(6)	(2)	680
2020	713	(6)	(2)	705
2021	820	(14)	(3)	803
Total	5862	(58)	(37)	5767

Notes: This table reports information chosen companies of the study.

Table 2. Description of variables

Information	Description
$R_{it}-\hspace{0.17em}{F}_t$	excess stock return
${\alpha }_i$, ${\beta }_i,\hspace{0.17em}{s}_i,\hspace{0.17em}{h}_i$, $r_i$, $c_i$, $m_i$, $l_i$	regression coefficient
$Mk{t}_t$	market premium
$SM{B}_t$	market capitalization
$HM{L}_t$	book to-market
$RM{W}_t$	operating profitability
$CM{A}_t$	investment
$UM{D}_t$	momentum
$I{C}_t$	intellectual capital
${\epsilon }_{it}$	error term

Table 3. Descriptive statistics

Statistic	RitFt	Mkt	SBM	HML	RMW	CMA	UMD	IC
Mean	0.007	0.015	21.475	0.038	3.981	0.059	−0.192	−0.021
Maximum	0.378	0.178	27.704	0.1	49.8	0.499	1	6.955
Minimum	−0.499	−0.145	16.047	−0.01	−49.91	−0.396	−1	−7.628
Std. Deviation	0.822	0.081	1.951	0.025	12.955	0.139	0.446	1.906
Observations	5767	5767	5767	5767	5767	5767	5767	5767

Source: The Processed Secondary Data (2023).

Table 4. Pearson correlations

Variables	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
(1) RitFt	1.000
(2) Mkt	0.667	1.000
(3) SBM	0.274	0.253	1.000
(4) HML	0.316	0.283	0.134	1.000
(5) RMW	0.098	0.107	0.247	0.040	1.000
(6) CMA	−0.025	−0.019	0.077	0.033	0.318	1.000
(7) UMD	−0.101	−0.127	0.046	−0.072	0.053	0.054	1.000
(8) IC	0.333	0.302	0.324	0.176	0.069	−0.042	−0.039	1.000

Source: The Processed Secondary Data (2023).

Table 5. Regression results

Independent Variable	Model 1	Model 2	Model 3
Constant	0.111 (12.17)***	0.084 (8.87)***	0.053 (9.42)***
Mkt	0.602 (57.78)***	0.579 (54.87)***	0.426 (66.61)***
SBM	0.004 (10.24)***	0.003 (7.17)***	0.001 (7.15)***
HML	0.419 (13.17)***	0.390 (12.35)***	0.251 (13.44)***
RMW	0.0001 (1.22)*	0.0001 (1.25)*	0.0001 (2.00)**
CMA	0.017 (2.88)***	0.013 (2.25)**	0.007 (2.11)**
UMD	0.003 (2.07)**	0.003 (1.91)*	0.003 (3.41)***
IC		0.004 (10.64)***	0.003 (13.65)***
EPS			0.319 (0.263)***
NPM			0.520 (20.74)***
N	5767	5767	5767
R^2	0.4732	0.4833	0.5816
Adj. R^2	0.4726	0.4827	0.5813
F	862.22	769.60	705.05

Notes : *** significance at the level of 1%, ** significance at the level of 5%, *significance at the level of 10%.

Source: The Processed Secondary Data (2023).

Table 6. Results of GMM Regression

Independent Variable	GMM
Constant	0.052 (9.930)***
Mkt	0.426 (44.81)***
SBM	0.001 (7.581)***
HML	0.251 (13.95)***
RMW	7.697 (2.079)**
CMA	0.007 (2.206)**
UMD	0.003 (3.557)***
IC	0.0035
	(12.95)***
N	5767

Notes : *** significance at the level of 1%, ** significance at the level of 5%, *significance at the level of 10%.

Source: The Processed Secondary Data (2023).