Intercept | HiOwner | Rm | SMB | HML | Debt | Illiquidity | Adj. R2 | |
Panel A. CAPM Model | ||||||||
Coefficient | −0.04*** | 0.005** | 1.01*** | 32.19% | ||||
t-stat. | (−44.16) | (2.18) | (110.70) | |||||
Panel B. Fama-French Three-Factor Model | ||||||||
Coefficient | −0.05*** | 0.004** | 1.01*** | 1.12*** | −0.39*** | 47.47% | ||
t-stat. | (−66.78) | (2.03) | (123.31) | (68.04) | (−20.07) | |||
Panel C. New Five-Factor Model | ||||||||
Coefficient | 0.12*** | 0.001 | 1.04*** | 1.11*** | −0.43*** | −0.01*** | 0.008*** | 50.90% |
t-stat. | (12.12) | (0.63) | (130.62) | (70.20) | (−22.86) | (−7.74) | (17.30) |