Intercept

Fam

Rm

SMB

HML

Debt

Illiquidity

Adj. R²

Panel A. CAPM Model

Coefficient

−0.04***

0.006***

1.02***

36.14%

t-stat.

(−98.85)

(6.27)

(241.28)

Panel B. Fama-French Three-Factor Model

Coefficient

−0.06***

0.005***

1.02***

1.01***

−0.17***

47.70%

t-stat.

(−139.03)

(6.69)

(260.99)

(131.45)

(−17.95)

Panel C. New Five-Factor Model

Coefficient

0.11***

0.0005

1.05***

1.01***

−0.2***

−0.005***

0.008***

49.95%

t-stat.

(22.25)

(0.62)

(269.68)

(133.33)

(−21.36)

(−10.02)

(33.50)