|
| (1) | (2) | (3) | (4) | (5) | (6) |
| const | 0.0169 | 0.0184 | 0.1514 | 0.1561 | 0.1483 | 0.1383 |
| (2.9411) | (3.6265) | (4.8111) | (4.9257) | (4.4862) | (4.2423) | |
| var | −0.0058 | 0.0332 | −0.209 | −0.1924 | −0.2748 | −0.2565 |
| (−0.05) | (0.2417) | (−1.9886) | (−2.231) | (−3.3627) | (−3.1137) | |
| beta |
| −0.0047 | 0.0064 | 0.0059 | 0.006 | 0.0065 |
|
| (−0.8197) | (1.2411) | (1.2538) | (1.2391) | (1.3586) | |
| size |
|
| −0.0058 | −0.0061 | −0.0056 | −0.0053 |
|
|
| (−4.3732) | (−4.5363) | (−4.0396) | (−3.8553) | |
| bm |
|
|
| 0.003 | −0.0003 | 0.0015 |
|
|
|
| (0.6611) | (−0.0604) | (0.3571) | |
| str |
|
|
|
| −0.051 | −0.0499 |
|
|
|
|
| (−5.2714) | (−5.1593) | |
| illiq |
|
|
|
|
| 0.1125 |
|
|
|
|
|
| (4.4644) | |
| Avg. R2 | 0.0234 | 0.0396 | 0.0571 | 0.0669 | 0.0801 | 0.0824 |