Intercept

FdrCEO

Rm

SMB

HML

Debt

Illiquidity

Adj. R2

Panel A. CAPM Model

Coefficient

−0.04***

0.004**

1.01***

32.19%

t-stat.

(−28.29)

(2.25)

(110.70)

Panel B. Fama-French Three-Factor Model

Coefficient

−0.06***

0.004**

1.01***

1.12***

−0.39***

47.47%

t-stat.

(−43.28)

(2.19)

(123.31)

(68.04)

(−20.07)

Panel C. New Five-Factor Model

Coefficient

0.12***

0.002

1.04***

1.11***

−0.43***

−0.01***

0.008***

50.90%

t-stat.

(12.02)

(1.32)

(130.40)

(70.08)

(−22.82)

(−7.68)

(17.35)