|
| (1) | (2) | (3) | (4) | (5) | (6) |
| const | 0.0279 | 0.0342 | 0.1243 | 0.1348 | 0.1154 | 0.1065 |
| (2.1166) | (2.5012) | (3.3555) | (3.7036) | (3.1975) | (2.9941) | |
| anchor | −0.0211 | −0.0211 | −0.0189 | −0.02 | 0.0045 | 0.0042 |
| (−1.334) | (−1.3901) | (−1.3593) | (−1.548) | (0.4292) | (0.3954) | |
| beta |
| −0.0079 | −0.0036 | −0.0032 | −0.0014 | −0.0004 |
|
| (−1.7282) | (−0.8654) | (−0.8194) | (−0.3482) | (−0.1003) | |
| size |
|
| −0.0043 | −0.0047 | −0.0048 | −0.0045 |
|
|
| (−3.1232) | (−3.5424) | (−3.5219) | (−3.3467) | |
| bm |
|
|
| 0.0051 | 0.0036 | 0.0052 |
|
|
|
| (1.1677) | (0.7931) | (1.2006) | |
| str |
|
|
|
| −0.054 | −0.0527 |
|
|
|
|
| (−6.8706) | (−6.7063) | |
| illiq |
|
|
|
|
| 0.1229 |
|
|
|
|
|
| (4.7791) | |
| Avg. R2 | 0.0217 | 0.0359 | 0.0568 | 0.0696 | 0.0794 | 0.0818 |