Interceptor

Fam

Rm

SMB

HML

Debt

Illiquidity

GFC

Fam * GFC

Adj. R²

Panel A. CAPM Model

Coefficient

−0.047***

0.007***

1.03***

0.012***

−0.003

36.24%

t-stat.

(−89.44)

(6.58)

(241.62)

(11.88)

(−1.38)

Panel B. Fama-French Three-Factor Model

Coefficient

−0.06***

0.006***

1.02***

1.01***

−0.17***

−0.002**

−0.002

47.71%

t-stat.

(−117.09)

(6.14)

(258.85)

(131.31)

(−18.10)

(−2.13)

(−0.98)

Panel C. New Five-Factor Model

Coefficient

0.11***

−0.0001

1.04***

1.01***

−0.20***

−0.005***

0.008***

−0.005***

0.001

49.96%

t-stat.

(22.86)

(−0.10)

(267.44)

(133.47)

(−21.73)

(−10.65)

(33.89)

(−5.53)

(0.60)