Panel A Regression results based on individual stocks

β_M

t-stat

β_SMB

t-stat

β_HML

t-stat

β_IRF

t-stat

adj.R²

1.08^***

17.39

0.67^***

2.33

0.21^***

2.01

68.61

0.92^***

14.33

0.56^***

1.99

0.13^**

1.49

0.33^***

20.3

72.23

Panel B Regression results based on industry portfolios

1

0.93^***

16.38

1.1^***

8.8

−0.17

−0.87

82.61

0.97^***

17.66

1.03^***

8.62

−0.21

−1.16

0.59^***

3.29

84.51

2

1.18^***

20.86

0.19

1.51

0.07

0.37

85.42

1.14^***

19.67

0.06

0.43

0.18

0.91

0.53^**

2.2

86.08

3

1^***

30.26

0.79^***

10.84

0.45^***

3.98

93.79

1.01^***

30.82

0.76^***

10.57

0.43^***

3.91

0.25^**

2.3

94.11

4

1.04^***

26.6

0.87^***

10.13

0.36^***

2.63

92.09

1.03^***

25.74

0.89^***

10.11

0.36^***

2.68

−0.12

−0.89

92.07

5

0.99^***

37.49

0.81^***

13.85

−0.09

−1.05

95.63

1.02^***

43.48

0.76^***

14.87

−0.13

−1.6

0.41^***

5.3

96.73

6

0.93^***

31.67

0.39^***

6.02

0.28^***

2.8

93.64

0.93^***

30.83

0.39^***

5.84

0.28^***

2.75

0.04

0.37

93.57

7

0.98^***

25.25

0.7^***

8.17

−0.31**

−2.33

90.41

1.01^***

27.18

0.65^***

8

−0.34^***

−2.75

0.44^***

3.58

91.64

8

0.91^***

19.42

0.87^***

8.44

−0.14

−0.88

85.97

0.94^***

20.47

0.82^***

8.2

−0.18

−1.13

0.44^***

2.93

87.19

9

1.1^***

19.62

0.52^***

4.2

−0.06

−0.33

84.4

1.06^***

18.51

0.38^***

2.85

0.05

0.27

0.57^**

2.41

85.29

10

0.99^***

26.17

0.56^***

6.68

−0.51^***

−3.89

90.53

1.03^***

30.03

0.49^***

6.62

−0.55^***

−4.76

0.55^***

4.88

92.63

11

1.08^***

23.75

1.13^***

11.33

0.29

1.87

90.81

1.09^***

23.94

1.1^***

11.01

0.27

1.76

0.28

1.86

91.08

12

0.97^***

25.51

0.85^***

10.08

0.31^**

2.38

91.52

0.99^***

25.3

0.83^***

9.75

0.3^**

2.29

0.17

1.31

91.6

13

1.04^***

33.44

0.9^***

13.02

0.09

0.86

94.73

1.06^***

33.98

0.87^***

12.76

0.08

0.72

0.23^**

2.28

94.99

14

1.11^***

24.9

0.88^***

8.93

0.01

0.04

90.61

1.09^***

24.38

0.92^***

9.36

0.03

0.2

0.32^**

2.14

91.01

15

1.21^***

31.02

0.23^***

2.61

0.38^***

2.82

93.15

1.21^***

30.07

0.23^**

2.58

0.38^***

2.8

−0.02

−0.11

93.07

16

0.92^***

22.09

0.89^***

9.67

−0.33^**

−2.32

88.73

0.96^***

24.46

0.83^***

9.71

−0.37^***

−2.83

0.53^***

4.07

90.57