| I | II | III |
| IV | V |
| coefficient | t-Statistic | coefficient | t-Statistic | ||
| 2002 October-2017 September | |||||
| Intercept | 0.01** | 2.24 | 0.01** | 2.46 | |
| SUE | 0.06*** | 7.80 | 0.05*** | 6.17 | |
| SUE X Beta |
| (0.05)* | (1.66) | ||
| SUE X Size |
| (0.05) | (1.17) | ||
| SUE X Value |
| 0.07*** | 3.16 | ||
| SUE X Illiquidity |
| 0.06 | 1.27 | ||
| SUE X Arbitrage risk |
|
|
| 0.04 | 1.01 |
| 2002 October-2008 September | |||||
| Intercept | 0.01 | 0.70 | 0.01 | 1.12 | |
| SUE | 0.07*** | 5.30 | 0.06*** | 3.62 | |
| SUE X Beta |
| (0.15)** | (2.60) | ||
| SUE X Size |
| (0.03) | (0.30) | ||
| SUE X Value |
| 0.13** | 2.87 | ||
| SUE X Illiquidity |
| 0.13 | 1.25 | ||
| SUE X Arbitrage risk |
|
|
| 0.11 | 1.38 |
| 2008 October-2017 September | |||||
| Intercept | 0.02** | 2.41 | 0.02** | 2.29 | |
| SUE | 0.05*** | 6.06 | 0.04*** | 5.93 | |
| SUE X Beta |
| 0.02 | 0.57 | ||
| SUE X Size |
| (0.06)** | (2.21) | ||
| SUE X Value |
| 0.03 | 1.62 | ||
| SUE X Illiquidity |
| 0.01 | 0.37 | ||
| SUE X Arbitrage risk |
|
|
| (0.01) | (0.39) |