| Panel A: descriptive statistics | |||||
| Rm | SMB | HML | Debt | Illiquidity | |
| Mean | 0.01 | 0.01 | 0.002 | 0.60 | −21.43 |
| Minimum | −0.25 | −0.14 | −0.16 | 0.01 | −29.32 |
| 25th Percentile | −0.05 | −0.01 | −0.03 | 0.14 | −22.37 |
| Median | 0.01 | 0.02 | 0.002 | 0.32 | −21.33 |
| 75th Percentile | 0.06 | 0.05 | 0.02 | 0.72 | −20.40 |
| Maximum | 0.27 | 0.13 | 0.18 | 4.37 | −11.57 |
| SD | 0.09 | 0.05 | 0.04 | 0.77 | 1.53 |
| Skewness | −0.26 | −0.51 | 0.32 | 2.68 | −0.36 |
| Kurtosis | 0.83 | 0.77 | 3.65 | 8.26 | 0.52 |
| Panel B: correlation coefficients | |||||
| Rm | SMB | HML | Debt | Illiquidity | |
| Rm | 1.00 | ||||
| SMB | 0.02 | 1.00 | |||
| HML | 0.19 | −0.37 | 1.00 | ||
| Debt | −0.03 | −0.02 | 0.00 | 1.00 | |
| Illiquidity | −0.12 | 0.00 | 0.02 | −0.17 | 1.00 |