Intercept | BigFam | Rm | SMB | HML | Debt | Illiquidity | GFC | Fam * GFC | Adj. R2 | |
Panel A. CAPM Model |
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Coefficient | −0.05*** | 0.02*** | 1.02*** |
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| 0.01*** | −0.01 | 32.60% |
t-stat. | (−38.60) | (11.26) | (111.05) |
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| (6.57) | (−1.35) |
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Panel B. Fama-French Three-Factor Model | ||||||||||
Coefficient | −0.06*** | 0.01*** | 1.01*** | 1.12*** | −0.39*** | −0.005*** | 0.003 | 47.65% | ||
t-stat. | (−49.30) | (7.44) | (122.41) | (68.13) | (−20.01) | (−2.49) | (0.71) | |||
Panel C. New Five-Factor Model | ||||||||||
Coefficient | 0.15*** | 0.02*** | 1.04*** | 1.11*** | −0.43*** | −0.01*** | 0.01*** | −0.005 | 0.005 | 51.25% |
t-stat. | (14.99) | (10.74) | (130.13) | (70.16) | (−22.84) | (−6.90) | (20.44) | (−2.64) | (1.35) |