Intercept

FdrCEO

Rm

SMB

HML

Debt

Illiquidity

GFC

Fam * GFC

Adj. R²

Panel A. CAPM Model

Coefficient

−0.04***

0.006***

1.02***

0.01***

−0.004

32.24%

t-stat.

(−25.85)

(2.72)

(110.68)

(3.62)

(−1.09)

Panel B. Fama-French Three-Factor Model

Coefficient

−0.05***

0.004**

1.01***

1.13***

−0.40***

−0.006**

−0.002

47.51%

t-stat.

(−35.65)

(1.96)

(122.06)

(68.19)

(−20.27)

(−2.11)

(−0.61)

Panel C. New Five-Factor Model

Coefficient

0.13***

0.001

1.04***

1.11***

−0.44***

−0.01***

0.008***

−0.009***

0.002

50.94%

t-stat.

(12.55)

(0.51)

(129.25)

(70.29)

(−23.08)

(−7.83)

(17.73)

(−3.46)

(0.69)