• **Endogeneity**

According to Pearson Correlation matrix, last term data of SMB, RMW, HML, CMA, CRMHL, and AMLH has significant correlation with this term at the level of 0.01. Nevertheless, for the market factor (Rm-Rf), its last term data are nearly independent with this term, which means except market risk factor, other factors are possible to forecast themselves with last term data.

However, to test the endogeneity of these factors, chi-square test are necessary for examination and application of these relationships. After the test, the results show that only SMB, RMW pass the test with 99% confidence level and CMA also has a significance level of 0.05, which means these three factors exist endogeneity and can be truly used to forecast their direction and investment cycle.
