| 2003-2019 | 2003-2004 | 2005-2007 | 2008-2011 | 2012-2019 | ||
| ISI | LISI | 0.012*** | 0.020 | 0.011*** | 0.009*** | 0.012*** |
|
| Con | 3.195*** | 2.730 | 3.119*** | 3.474*** | 3.263*** |
|
| R-square | 0.661 | 0.300 | 0.737 | 0.232 | 0.600 |
|
| F-stat | 389.13 | 8.56 | 92.46 | 13.61 | 139.43 |
| SMB | LISI | 0.001** | −0.096 | 0.001 | −0.006 | −0.002** |
|
| LISI2 | −4.22e−06** | 0.002 | −6.56e−06 | 0.0001 | 0.00001** |
|
| MRP | 0.046 | 0.035 | −0.050 | 0.0563 | 0.037 |
|
| HML | −0.861*** | −0.672*** | 0.209 | −0.782*** | −1.069*** |
|
| IPPI | −0.081 | −0.216 | 1.087 | 0.125 | −0.079 |
|
| MEBI | 0.003 | 1.224* | 4.639 | −0.226 | −0.057 |
|
| Con | 0.346 | −3.338 | −26.469 | 0.621 | 0.690 |
|
| R-square | 0.333 | 0.605 | 0.266 | 0.244 | 0.710 |
|
| F-stat | 16.19 | 3.82 | 1.69 | 2.15 | 35.84 |