Table VIII. Regression results for the...

Table VIII.

Regression results for the risk-factor approach models

			Part 1-Coefficients
Model	Constant	Beta	Size	BM	Momentum	Liquidity
(3)	0.14159*	−0.11223*
(4)	0.14632*	−0.13303*	−0.09829*	0.025361*
(5)	0.14738*	−0.11559**	−0.10037*	0.02553*	0.03223*
(6.1)	0.14902*	−0.12124*	−0.10166*	0.02568*	0.03264**	−0.09694
(6.2)	0.01294*	−0.83002*	−0.06897*	0.02671*	0.00879**	−0.02975**
(6.3)	0.13274*	−0.06710*	−0.05950*	0.02820*	0.00373*	−0.03780*
			Part 2-Tests
	Adjusted R²	F-test	Wald	LM	Hausman
(3)	0.0235	1.21*	1.637*	12.815*	4,49**
(4)	0.0623	18.05*	8.629*	52.680*	114,73*
(5)	0.0636	21.08*	1.230*	57.436*	49.62*
(6.1)	0.0637	11.76*	1.113*	56.218*	46.99*
(6.2)	0.0703	12.11*	1.905*	56.610*	49.69*
(6.3)	0.0723	13.19*	6.429*	57.73*	88.37*

			Part 1-Coefficients
Model	Constant	Beta	Size	BM	Momentum	Liquidity
(3)	0.14159*	−0.11223*
(4)	0.14632*	−0.13303*	−0.09829*	0.025361*
(5)	0.14738*	−0.11559**	−0.10037*	0.02553*	0.03223*
(6.1)	0.14902*	−0.12124*	−0.10166*	0.02568*	0.03264**	−0.09694
(6.2)	0.01294*	−0.83002*	−0.06897*	0.02671*	0.00879**	−0.02975**
(6.3)	0.13274*	−0.06710*	−0.05950*	0.02820*	0.00373*	−0.03780*
			Part 2-Tests
	Adjusted R²	F-test	Wald	LM	Hausman
(3)	0.0235	1.21*	1.637*	12.815*	4,49**
(4)	0.0623	18.05*	8.629*	52.680*	114,73*
(5)	0.0636	21.08*	1.230*	57.436*	49.62*
(6.1)	0.0637	11.76*	1.113*	56.218*	46.99*
(6.2)	0.0703	12.11*	1.905*	56.610*	49.69*
(6.3)	0.0723	13.19*	6.429*	57.73*	88.37*

Notes:

Part 1 of the Table shows the regression results for the risk-factor approach models estimated annually through panel data. Standard errors were estimated using a Huber–White robust matrix, considering the results of the tests of regression assumptions, which are in Part 2 of the Table, 1 = Negotiability, 2 = Trading quantity, 3 = Traded volume;

significant at 1%;

significant at 5%; and *** significant at 10%

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