|
| 1) | 2) | 3) |
|
| CAPM | FF3 | FF5 |
| AQ factor | 0.850*** | 0.312*** | 0.320*** |
|
| (42.26) | (4.82) | (4.86) |
| RiskP | 0.498*** | 0.592*** | 0.599*** |
|
| (24.60) | (49.22) | (48.67) |
| SMB |
| 0.0587** | 0.0924** |
|
|
| (2.74) | (2.96) |
| HML |
| −0.547*** | −0.570*** |
|
|
| (−15.29) | (−15.40) |
| RMW |
|
| 0.131 |
|
|
|
| (1.84) |
| CMA |
|
| 0.161*** |
|
|
|
| (3.83) |
| _cons | 0.00758*** | 0.00856*** | 0.00795*** |
|
| (16.68) | (21.56) | (15.84) |
| N | 4549 | 4549 | 4549 |