| (1) | (2) | (3) | (4) | |
| Constant | −0.397 | −0.438 | −0.435 | −1.052 |
|
| [−67.35] | [−64.95]*** | [−64.69]*** | [−14.09]*** |
| FIOC | −0.038 |
| −0.073 | −0.036 |
|
| [−5.34]*** |
| [−9.42]*** | [−4.16]*** |
| FIOL |
| 0.063 | 0.090 | 0.030 |
|
|
| [8.75]*** | [11.73]*** | [3.07]*** |
| NCSKEW |
|
|
| 0.019 |
|
|
|
|
| [2.31]** |
| lnCap |
|
|
| 0.102 |
|
|
|
|
| [6.85]*** |
| MB |
|
|
| 0.021 |
|
|
|
|
| [2.90]*** |
| ROA |
|
|
| −0.024 |
|
|
|
|
| [−2.79]*** |
| ROAVol |
|
|
| −0.001 |
|
|
|
|
| [−0.11] |
| Debt |
|
|
| 0.007 |
|
|
|
|
| [0.89] |
| Ret |
|
|
| 0.086 |
|
|
|
|
| [8.12]*** |
| lnAmihud |
|
|
| 0.047 |
|
|
|
|
| [4.58]*** |
| Sigma |
|
|
| −0.012 |
|
|
|
|
| [−1.79]* |
| kurtosis |
|
|
| −0.028 |