Variables

Model III:

Linear Regression Model

Model IV:

Quadratic Model

Coef.

t-value

Coef.

t-value

Intercept

3.8365

1.21

3.8154

1.20

Mkt

1.0672

160.42***

1.0645

155.29***

Mkt²

−0.0088

−9.12***

SMB

0.4752

45.11***

0.4770

41.68***

SMB²

0.0050

1.70*

HML

−0.1776

−15.14***

−0.2433

−8.29***

HML²

−0.0085

−2.27**

RMW

−0.0876

−2.76***

−0.1551

−4.56***

RMW²

−0.0709

−3.23***

CMA

0.1338

4.49***

0.0551

1.71*

CMA²

0.0950

3.73***

UMD

0.2409

16.06***

0.0500

1.44

UMD²

0.0311

6.86***

F-value

2.9967***

3.0078***

p-value

<0.0001

<0.0001

R²

0.2182

0.2189

Adj. R²

0.1454

0.1461

Sample Size

201,454

201,454