| 2003-2019 | 2003-2004 | 2005-2007 | 2008-2011 | 2012-2019 | ||
| CICSI | LCICSI | 0.912*** | 0.859*** | 0.911*** | 0.790*** | 0.849*** |
|
| Constant | 0.315*** | 0.450 | 0.323 | 0.749 | 0.556*** |
|
| R-square | 0.827 | 0.673 | 0.841 | 0.386 | 0.775 |
|
| F-stat | 954.54 | 41.19 | 173.99 | 28.34 | 319.43 |
| SMB | LCICSI | 0.771*** | −4.502 | 2.429 | 3.709 | 0.991 |
|
| LCICSI2 | −0.111*** | 0.684 | −0.371 | −0.500 | −0.143 |
|
| MRP | 0.039 | 0.018 | 0.055 | 0.035 | 0.018 |
|
| HML | −0.852*** | −0.645*** | 0.187 | −0.674** | −1.088 |
|
| IPPI | 0.017 | −0.576 | 2.136 | 0.049 | −0.232 |
|
| MEBI | −0.132 | 1.729*** | 5.142* | −0.138 | −1.088 |
|
| Con | −0.802 | 2.104 | −37.613** | −6.442 | −1.259 |
|
| R-square | 0.322 | 0.586 | 0.158 | 0.265 | 0.7110 |
|
| F-stat | 15.42 | 3.53 | 0.87 | 2.40 | 36.09 |