Variable

(1)

(2)

(3)

MAX

−0.325***

(−4.79)

−0.328***

(−4.90)

IVOL

0.0626***

(2.74)

−0.0599***

(−12.40)

β_RMRF

0.0438

(1.37)

0.0448

(1.43)

0.0744*

(1.91)

β_SMB

0.0088

(0.62)

0.0076

(0.55)

−0.0258**

(−2.34)

β_HML

−0.0193**

(−2.16)

−0.0178**

(−2.08)

0.0132***

(3.00)

Ln(size)

−0.0048

(−1.62)

−0.0044

(−1.57)

−0.0020***

(−4.48)

Ln(B/M)

−0.0300***

(−7.36)

−0.0297***

(−7.22)

−0.0541***

(−50.40)

Ln(MOM)

0.0069

(0.32)

0.0088

(0.40)

−0.0195***

(−39.47)

ZR

0.0352***

(5.10)

0.0346***

(5.00)

−0.0898***

(−29.82)

ISKEW

0.0037

(0.24)

0.0035

(0.23)

0.0048

(1.17)

Ln (PRICE)

0.0015

(0.36)

0.0009

(0.22)

−0.0146***

(−19.55)

REV

−0.0298

(−1.48)

−0.0299

(−1.52)

−0.0459***

(−11.09)

R²

0.101

0.104

0.080

Adj. R²

0.095

0.098

0.080

N

63,878

63,878

66,896