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)