Variables

R_i - R_f

(1) G = 1

(2) G = 2

(3) G = 3

L_IV

−0.197^**

−0.123

0.325^***

(−2.53)

(−1.26)

(4.21)

MKT

0.319

0.377

0.296^*

(1.85)

(2.00)

(1.80)

HML

0.00926

0.0113

0.0199

(0.26)

(0.32)

(0.57)

SMB

−0.0233

−0.0154

−0.0280

(−0.66)

(−0.42)

(−0.81)

_CONS

0.0908

−0.0520

−0.324^***

(1.43)

(−0.82)

(−4.49)

N

5332

5321

5326

Adj-R²

0.051

0.068

0.047