Intercept

BigFam

Rm

SMB

HML

Debt

Illiquidity

Adj. R²

Panel A. CAPM Model

Coefficient

−0.05***

0.02***

1.01***

32.47%

t-stat.

(−42.61)

(10.65)

(110.96)

Panel B. Fama-French Three-Factor Model

Coefficient

−0.06***

0.01***

1.01***

1.12***

−0.39***

47.64%

t-stat.

(−61.17)

(9.41)

(123.50)

(68.14)

(−19.90)

Panel C. New Five-Factor Model

Coefficient

0.15***

0.02***

1.04***

1.10***

−0.43***

−0.008***

0.01***

51.24%

t-stat.

(14.8)

(13.29)

(131.1)

(70.11)

(−22.73)

(−6.86)

(20.37)