Variable

ISM₁ = 1(L)

ISM₁ = 1(H)

MAX

0.2260

(0.40)

−0.6690***

(−3.55)

IVOL

0.0075

(0.18)

0.0671

(1.67)

ISKEW

0.0584

(0.69)

0.0821

(0.97)

β_RMRF

0.6430

(0.91)

0.0320

(0.12)

β_SMB

−0.3650

(−1.50)

−0.1460**

(−2.22)

β_HML

0.0872

(1.18)

0.0025

(0.08)

Ln (size)

−0.0051

(−0.52)

−0.0398***

(−3.78)

Ln (B/M)

−0.0036

(−1.19)

−0.0968***

(−3.07)

Ln (PRICE)

−0.0302

(−1.39)

−0.0407**

(−2.24)

Ln (MOM)

0.1300

(0.94)

−0.0831

(−1.17)

ZR

0.1340

(1.16)

0.1740

(1.35)

REV

−0.0184

(−0.20)

−0.1310**

(−2.47)

R²

0.373

0.252

N

3,051

2966