adj.R²

adj.R²

Panel A Regression results based on individual stocks

Panel B Regression results based on industry portfolios

Mean

0.01

0.53^***

0.41^**

0.06

52.35

0.01

0.82^***

0.22^**

0.01^**

60.78

t-stat

0.12

3.83

2.31

0.13

1.31

3.54

2.25

2.22

Mean

0.01

0.41^***

0.22

0.03

0.31

53.88

0.04

0.58^***

0.24

0.11

0.21

62.34

t-stat

0.57

2.72

1.47

0.19

1.62

1.45

2.78

0.64

0.29

1.65

Mean

0.04

0.51^***

0.18

0.22^**

23.89

0.01^***

0.27^***

0.15^**

0.14^***

31.51

t-stat

2.16

2.71

0.15

2.52

2.69

2.98

2.17

2.64

Mean

0.04

0.15^**

0.01^**

17.39

0.02

0.31^***

0.13^***

27.87

t-stat

1.82

2.53

2.21

1.53

3.73

2.65