|
| (1) | (2) | (3) | (4) | (5) | (6) |
| const | 0.0166 | 0.0194 | 0.1196 | 0.1275 | 0.1102 | 0.1019 |
| (2.7198) | (3.4385) | (3.4128) | (3.6742) | (3.0336) | (2.8349) | |
| mom60 | −0.008 | −0.0082 | −0.0064 | −0.0059 | −0.0093 | −0.0092 |
| (−1.3199) | (−1.3768) | (−1.1731) | (−1.1592) | (−1.6515) | (−1.6477) | |
| beta |
| −0.0038 | 0.0007 | 0.0009 | −0.001 | −0.0001 |
|
| (−0.8746) | (0.1632) | (0.225) | (−0.2555) | (−0.0217) | |
| size |
|
| −0.0047 | −0.0051 | −0.0043 | −0.0041 |
|
|
| (−3.1894) | (−3.5569) | (−2.8886) | (−2.7397) | |
| bm |
|
|
| 0.0063 | 0.0036 | 0.0051 |
|
|
|
| (1.3905) | (0.7865) | (1.1598) | |
| str |
|
|
|
| −0.0548 | −0.0537 |
|
|
|
|
| (−5.1916) | (−5.1148) | |
| illiq |
|
|
|
|
| 0.1161 |
|
|
|
|
|
| (4.5933) | |
| Avg. R2 | 0.0148 | 0.0299 | 0.0532 | 0.0659 | 0.0806 | 0.083 |