β 0

β 1

β 2

β 3

β 4

β 5

α

p 1

p 2

μ

σ

a

b

c

d

Panel A: FF5-SSAEPD-EGARCH

US 5 factors

0.35

1.00

0.11

−0.26

−0.31

−0.70

0.43

1.68

1.74

−0.03

1.93

0.12

0.91

0.10

0.09

North American 5 factors

0.27

0.97

0.04

−0.29

−0.25

−0.65

0.43

1.70

1.79

0.03

2.01

0.10

0.94

−0.01

0.16

Global 5 factors

0.78

0.81

−0.26

−0.53

−0.81

−1.02

0.43

1.70

1.80

0.54

3.02

0.06

0.97

−0.02

0.21

Panel B: FF5-Normal

US 5 factors

0.33

1.02

0.12

−0.26

−0.27

−0.77

-

-

-

0

1.92

-

-

-

-

North American 5 factors

0.31

1.00

0.10

−0.29

−0.16

−0.72

-

-

-

0

1.99

-

-

-

-

Global 5 factors

0.94

0.79

−0.13

−0.27

−0.59

−1.21

-

-

-

0

2.95

-

-

-

-