Panel A The outcome of cross-section regression during 07/1963-12/1989

α

IV_FF5FM

$R_{i,t}$

Size

B/M

OP

AGR

0.0151***

(5.34)

−0.1729**

(−2.29)

0.0119***

(2.95)

−0.0576***

−10.10

0.0140***

(4.83)

−0.0940

(−1.07)

−0.0642***

(−10.86)

0.0257***

(5.69)

−0.2344***

(−4.22)

−0.0019***

(−3.38)

0.0025**

(2.53)

0.0004**

(2.27)

−0.0001***

(−6.19)

0.0220***

(4.83)

−0.1212

(−0.86)

−0.0772***

(−11.99)

−0.0014**

(−2.45)

0.0014

(1.45)

0.0004**

(2.22)

−0.0001***

(−6.92)

Panel B The outcome of cross-section regression during 01/1990-12/2014

α

IV_FF5FM

$R_{i,t}$

Size

B/M

OP

AGR

0.0121***

(4.14)

−0.0293

(−0.52)

0.0229***

(5.46)

−0.0525

(−0.92)

−0.0014***

(−3.24)

0.0035**

(2.88)

0.0000

(1.18)

−0.0001***

(−8.47)

Panel C The outcome of cross-section regression during 07/1926-06/1963

α

IV_FF5FM

$R_{i,t}$

Size

B/M

0.0122***

(3.28)

−0.0279

(−0.36)

0.0297***

(5.03)

−0.0504

(−0.68)

−0.0042***

(−4.33)

0.0019**

(2.01)