|
| (1) | (2) | (3) | (4) | (5) | (6) |
| const | 0.0186 | 0.0191 | 0.1584 | 0.1626 | 0.1551 | 0.1456 |
| (3.0242) | (3.2748) | (5.1319) | (5.2002) | (4.7599) | (4.5150) | |
| es | −0.0177 | 0.0043 | −0.2268 | −0.2092 | −0.2739 | −0.2613 |
| (−0.1881) | (0.0352) | (−2.3241) | (−2.5070) | (−3.4313) | (−3.2308) | |
| beta |
| −0.0033 | 0.0080 | 0.0076 | 0.0077 | 0.0083 |
|
| (−0.5087) | (1.3360) | (1.3671) | (1.3509) | (1.4579) | |
| size |
|
| −0.0059 | −0.0062 | −0.0057 | −0.0055 |
|
|
| (−4.5827) | (−4.7154) | (−4.2174) | (−4.0360) | |
| bm |
|
|
| 0.0031 | 0 | 0.0017 |
|
|
|
| (0.7016) | (−0.0015) | (0.4000) | |
| str |
|
|
|
| −0.0512 | −0.0501 |
|
|
|
|
| (−5.3068) | (−5.1993) | |
| illiq |
|
|
|
|
| 0.1090 |
|
|
|
|
|
| (4.3550) | |
| Avg. R2 | 0.0221 | 0.0399 | 0.0574 | 0.0675 | 0.0809 | 0.0832 |