Model I: Traditional linear regression model

Model II: The Quadratic model

Coef.

t

VIF

Coef.

t

Intercept

−0.0476

−0.94

-

0.1204

1.84*

Mkt

1.0823

170.11***

1.0792

1.0789

165.23***

Mkt²

−0.0081

−9.46***

SMB

0.4699

45.7***

1.1483

0.4746

43.20***

SMB²

0.0044

1.55

HML

−0.1602

−14.37***

1.1811

−0.2429

−8.54***

HML²

−0.0099

−2.71***

RMW

−0.1179

−3.84***

1.1656

−0.1931

−5.94***

RMW²

−0.0617

−2.87***

CMA

0.1113

3.88***

1.1613

0.0330

1.08

CMA²

0.0962

3.95***

UMD

0.1895

14.24***

1.0481

−0.0383

−1.17

UMD²

0.0372

8.66***

F-value

5407.2***

2724.2***

p-value

<0.0001

<0.0001

R²

0.1387

0.1396

Adj. R²

0.1387

0.1396

Sample Size

201,454

201,454