Risk.pr | Mkt.cap | Lev. | BM | Disp. | Ltg | Beta | Ret. | SRI | |
---|---|---|---|---|---|---|---|---|---|
Risk premium | 1 | ||||||||
Market cap | -0.11 | 1 | |||||||
Leverage | 0.30 | -0.01 | 1 | ||||||
Book-to-market | 0.38 | -0.28 | 0.40 | 1 | |||||
Dispersion | 0.36 | 0.12 | 0.25 | 0.18 | 1 | ||||
Long-term growth | 0.01 | -0.05 | -0.02 | -0.02 | 0.01 | 1 | |||
Beta | 0.13 | -0.17 | -0.03 | 0.04 | 0.08 | 0.05 | 1 | ||
Return | -0.18 | 0.06 | -0.24 | -0.39 | -0.07 | 0.03 | 0.17 | 1 | |
SRI ratio | 0.03 | 0.03 | 0.00 | -0.01 | 0.06 | -0.01 | 0.01 | -0.03 | 1 |