Intercept

BigFam

Rm

SMB

HML

Debt

Illiquidity

GFC

Fam * GFC

Adj. R²

Panel A. CAPM Model

Coefficient

−0.05***

0.02***

1.02***

0.01***

−0.01

32.60%

t-stat.

(−38.60)

(11.26)

(111.05)

(6.57)

(−1.35)

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)