Variable

ISM₁ = 1

ISM₁ = 0

ISM₁ = 1

ISM₁ = 0

MAX

−0.3490***

(−2.97)

−0.3090***

(−3.84)

−0.3530***

(−2.97)

−0.3060***

(−4.19)

IVOL

−0.0007

(−0.04)

0.1190***

(3.33)

ISKEW

−0.0184

(−0.98)

0.0229

(0.98)

β_RMRF

0.0708

(1.33)

0.0221

(0.54)

0.0800

(1.57)

0.0135

(0.35)

β_SMB

0.0031

(0.13)

0.0126

(0.76)

−0.0023

(−0.10)

0.0164

(0.95)

β_HML

−0.0272**

(−2.23)

−0.0103

(−0.94)

−0.0219*

(−2.00)

−0.0142

(−1.08)

Ln (size)

0.0009

(0.34)

−0.0099*

(−2.08)

0.0009

(0.31)

−0.0091*

(−2.02)

Ln (B/M)

−0.0326***

(−5.85)

−0.0275***

(−4.61)

−0.0328***

(−5.84)

−0.0269***

(−4.47)

Ln (PRICE)

−0.0041

(−0.64)

0.0065

(1.14)

−0.0040

(−0.64)

0.0053

(1.00)

Ln (MOM)

0.0251

(1.66)

−0.0187

(−0.74)

0.0106

(0.43)

0.0073

(0.20)

ZR

0.0412***

(3.52)

0.0298***

(3.79)

0.0410***

(3.48)

0.0289***

(3.66)

REV

−0.0260

(−1.01)

−0.0333

(−1.07)

−0.0262

(−1.03)

−0.0332

(−1.09)

R²

0.077

0.121

0.078

0.127

N

30,469

33,409

30,469

33,409