¶

mkt

smb

hml

umd

R2

yg

0.0043

0.7383***

0.0939

−0.4710***

0.1558***

0.896

yc

−0.0017

0.8339***

0.1468***

−0.3362***

0.0603***

0.967

yq−yc

0.0054***

−0.0956

−0.0529

−0.1348

0.0955***

−0.071