Variable

(1)

(2)

(3)

(4)

(5)

MAX

−0.3200***

(−13.15)

−0.2940***

(−12.01)

−0.7360***

(−11.35)

−0.4580***

(−12.72)

LISM

−0.0027***

(−5.30)

0.0112***

(10.04)

0.0113***

(10.09)

0.0129***

(5.17)

0.0029**

(2.31)

MAX*LISM

−0.2240***

(−13.37)

−0.2070***

(−12.26)

−0.2610***

(−8.10)

−0.4640***

(−21.85)

IVOL

−0.0529***

(−10.55)

−0.0414***

(−8.08)

−0.0839***

(−10.38)

−0.2350***

(−32.53)

ISKEW

0.0058

(1.40)

−0.0107

(−0.59)

−0.0082

(−0.31)

−0.0424***

(−3.98)

β_RMRF

0.0732*

(1.87)

0.0778*

(1.90)

0.0809**

(1.96)

−0.0074

(−0.18)

−0.2060***

(−5.18)

β_SMB

−0.0245**

(−2.22)

−0.0143

(−1.27)

−0.0188

(−1.51)

0.0809*

(1.84)

0.0128

(1.01)

β_HML

0.0128***

(2.90)

−0.0106*

(−1.93)

−0.0061

(−0.78)

−0.0457**

(−2.17)

−0.0252***

(−3.28)

Ln(size)

−0.0017***

(−3.65)

−0.0009*

(−1.91)

−0.0018***

(−3.73)

0.0060***

(5.04)

0.0021***

(4.33)

Ln(B/M)

−0.0543***

(−50.55)

−0.0534***

(−48.74)

−0.0537***

(−49.02)

−0.0708***

(−24.77)

−0.0435***

(−39.41)

Ln(PRICE)

−0.0142***

(−18.93)

−0.0142***

(−18.39)

−0.0143***

(−18.56)

0.0071***

(3.30)

−0.0039***

(−5.00)

Ln(MOM)

−0.0205***

(−38.80)

−0.0200***

(−36.88)

−0.0199***

(−36.79)

0.0239***

(12.36)

−0.0309***

(−52.35)

ZR

−0.0899***

(−29.85)

−0.0880***

(−28.24)

−0.0888***

(−28.51)

−0.0129**

(−2.03)

−0.1020***

(−30.75)

REV

−0.0499***

(−11.87)

−0.0277***

(−6.03)

−0.0290***

(−6.32)

0.0875***

(6.71)

−0.1730***

(−34.55)

R²

0.079

0.082

0.083

0.139

0.141

N

66,896

63,878

63,878

10,943

49,665