Intercept | HiOwner | Rm | SMB | HML | Debt | Illiquidity | GFC | Fam * GFC | Adj. R2 | |
Panel A. CAPM Model |
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Coefficient | −0.04*** | 0.008*** | 1.02*** |
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| 0.01*** | 0.01 | 32.25% |
t-stat. | (−40.39) | (2.95) | (110.69) |
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| (4.91) | (1.62) |
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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) |