Intercept

HiOwner

Rm

SMB

HML

Debt

Illiquidity

GFC

Fam * GFC

Adj. R²

Panel A. CAPM Model

Coefficient

−0.04***

0.008***

1.02***

0.01***

0.01

32.25%

t-stat.

(−40.39)

(2.95)

(110.69)

(4.91)

(1.62)

Panel B. Fama-French Three-Factor Model

Coefficient

−0.05***

0.005**

1.01***

1.13***

−0.40***

−0.007***

0.007

47.51%

t-stat.

(−56.38)

(2.09)

(122.07)

(68.19)

(−20.27)

(−3.71)

(1.25)

Panel C. New Five-Factor Model

Coefficient

0.13***

0.001

1.04***

1.11***

−0.44***

−0.01***

0.008***

−0.007***

0.005

50.94%

t-stat.

(12.12)

(0.63)

(129.26)

(70.29)

(−23.08)

(−7.83)

(17.65)

(−4.37)

(0.90)