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) |