T1

T2

T3

T4

T5

T6

T7

T8

T9

T10

T11

T12

T13

T14

T15

T16

T17

Panel A: FF5-SSAEPD-EGARCH

US 5 factors

0*

0*

0*

0*

0*

0*

0*

0.04*

0.06

0.03*

0.01*

0.11

0*

0*

0*

0.01*

0.99

North Ame. 5 factors

0*

0.13

0*

0.99

0*

0*

0*

0.07

0.99

0.03*

0*

0*

0*

0*

0*

0.99

0.99

Global 5 factors

0*

0*

0*

0*

0*

0*

0*

0.01*

0.99

0*

0*

0.07

0*

0*

0*

0.70

0.99

Panel B:FF5-Normal

US 5 factors

0*

1

0*

0*

0*

0*

0*

-

-

-

-

-

-

-

-

-

-

North Ame. 5 factors

0*

1

0*

0.03*

0*

0*

0*

-

-

-

-

-

-

-

-

-

-

Global 5 factors

0*

1

0*

0.13

0.01*

0*

0*

-

-

-

-

-

-

-

-

-

-