| Type | The name of factor | Meaning of the factor | Configuration of the factor |
| Market risk factor | Market portfolio factor (Rm-Rf) | To measure the market risk premium, reflecting the market’s systemic risk | E(Rmt)-Rft |
| Company specific risk factors | Size factor(SMB) | A measure of the difference in earnings due to the different size of the listed company | The average yield on small companies minus the average yield large companies |
| Book-to-market (HML) | A measure of the value of listed companies due to differences in yield resulting from differences in HML | Yield between the high HML portflio and the low HML portflio | |
| PE factor (PEF) | The yield due to the price-earnings ratio (market valuation) as a result of differences in PEF | PEF is the difference between the average yield on the company’s high price-earnings ratio and the average yield of the company’s low price-earnings ratio | |
| R & D factor (R & D) | Used to measure the density of R & D investment, which can effectively eliminate the impact of firm size | The ratio of R & D investment and sales | |
| Lifecycle factor | Lifecycle through a single indicator is difficult to quantify, the paper make the life cycle indicators as dummy variable to see its impact on the investment value | Using Growth Industry Taxonomy to classify the stage of all listed companies in the technology industry | |
| Macroeconomic factors | CPI | Measure of the degree of price level changes | Comparison with the same period last year |
| M2 growth rate (M2) | Measure of liquidity | Index monthly growth rate | |
| Term spreads (TS) | Reflect liquidity preference of investors | Three-year deposit rate minus three-month deposit rate | |
| The name of factor | Meaning of the factor | Configuration of the factor | |
| Market risk factor | Market portfolio factor (Rm-Rf) | To measure the market risk premium, reflecting the market ‘s systemic risk | E(Rmt)-Rft |
| Company specific risk factors | Size factor (SMB) | A measure of the difference in earnings due to the different size of the listed company | The average yield on small companies minus the average yield large companies |
| Book-to-market (HML) | A measure of the value of listed companies due to differences in yield resulting from differences in HML | Yield between the high HML portflio and the low HML portflio | |
| PE factor (PEF) | The yield due to the price-earnings ratio (market valuation) as a result of differences in PEF | PEF is the difference between the average yield on the company’s high price-earnings ratio and the average yield of the company’s low price-earnings ratio | |
| R & D factor (R & D) | Used to measure the density of R & D investment, which can effectively eliminate the impact of firm size | The ratio of R & D investment and sales | |
| Lifecycle factor | Lifecycle through a single indicator is difficult to quantify, the paper make the life cycle indicators as dummy variable to see its impact on the investment value | Using Growth Industry Taxonomy to classify the stage of all listed companies in the technology industry | |
| Macroeconomic factors | CPI | Measure of the degree of price level changes | Comparison with the same period last year |
| M2 growth rate (M2) | Measure of liquidity | Index monthly growth rate | |
| Term spreads (TS) | Reflect liquidity preference of investors | Three-year deposit rate minus three-month deposit rate |