|
| (1) | (2) | (3) | (4) | (5) | (6) |
| const | 0.0191 | 0.0224 | 0.133 | 0.1419 | 0.1241 | 0.1154 |
| (3.0708) | (3.7329) | (3.8092) | (4.0864) | (3.4193) | (3.2197) | |
| mom120 | −0.0037 | −0.0029 | −0.0017 | −0.0011 | −0.0036 | −0.0036 |
| (−0.9457) | (−0.7588) | (−0.4478) | (−0.3535) | (−1.0276) | (−1.0277) | |
| beta |
| −0.0049 | −0.0001 | 0.0001 | −0.0016 | −0.0007 |
|
| (−1.0344) | (−0.0219) | (0.0293) | (−0.3934) | (−0.1594) | |
| size |
|
| −0.0052 | −0.0056 | −0.0048 | −0.0045 |
|
|
| (−3.5816) | (−3.9807) | (−3.2787) | (−3.1258) | |
| bm |
|
|
| 0.0061 | 0.003 | 0.0046 |
|
|
|
| (1.3835) | (0.6526) | (1.0352) | |
| str |
|
|
|
| −0.0538 | −0.0525 |
|
|
|
|
| (−5.0593) | (−4.9704) | |
| illiq |
|
|
|
|
| 0.1173 |
|
|
|
|
|
| (4.5747) | |
| Avg. R2 | 0.0139 | 0.0297 | 0.053 | 0.065 | 0.0797 | 0.0822 |