Equation	Security	$α_{i}$	$β_{i} r_{m t}$	$β_{2 i} D_{t} r_{m t}$	$β_{2 i} N_{t} r_{m t}$
$r_{i t} = α_{i} + β_{i} r_{m t} + ε_{i t}$ (Equation (1))	ABT	0.004	0.220
	ACN	0.007	0.581
	ACE	0.005	0.567
	ACT	0.015	0.546
	ATVI	0.008	0.464
	AYI	0.010	0.841
	ADBE	0.002	1.199
	AAP	0.010	0.591
	AES	−0.005	1.071
	AET	0.004	0.927
$r_{i t} = α_{i} + β_{1 i} r_{m t} + β_{2 i} D_{t} r_{m t} + ε_{i t}$ (Equation (3))	ABT	0.000	−0.025	0.014
	ACN	0.005	0.472	0.006
	ACE	0.001	0.278	0.017
	ACT	0.017	0.710	−0.010
	ATVI	0.004	0.130	0.019
	AYI	0.009	0.783	0.003
	ADBE	0.001	1.103	0.006
	AAP	0.010	0.596	0.000
	AES	−0.005	1.045	0.002
	AET	0.004	0.911	0.001
$r_{i t} = α_{i} + β_{1 i} r_{m t} + β_{2 i} N_{t} r_{m t} + ε_{i t}$ (Equation (6))	ABT	0.003	0.190		0.003
	ACN	0.009	0.671		−0.010
	ACE	0.003	0.477		0.010
	ACT	0.004	0.140		0.046
	ATVI	0.008	0.447		0.002
	AYI	0.018	1.156		−0.036
	ADBE	0.007	1.398		−0.023
	AAP	0.002	0.268		0.037
	AES	0.009	1.616		−0.062
	AET	0.009	1.118		−0.022
$r_{i t} = α_{i} + β_{1 i} r_{m t} + β_{2 i} D_{t} r_{m t} + β_{3 i} N_{t} r_{m t} + ε_{i t}$ (Equation (7))	ABT	−0.004	0.013	0.015	−0.006
	ACN	−0.001	0.571	0.009	−0.016
	ACE	−0.016	0.281	0.017	0.000
	ACT	0.001	0.349	−0.018	0.057
	ATVI	−0.011	0.201	0.021	−0.011
	AYI	0.003	1.045	0.009	−0.042
	ADBE	−0.049	1.284	0.010	−0.029
	AAP	−0.015	0.341	−0.006	0.041
	AES	−0.026	1.480	0.012	−0.069
	AET	−0.023	1.066	0.004	−0.025