Table 8 Summary of asset-pricing tests... | Emerald Publishing

Table 8

Summary of asset-pricing tests

	Average R-squared	Average $\| I n t e r c e p t \|$	GRS	p(GRS)
Four-factor model	0.6524	0.1463	0.7473	0.7038
Fama and French (2015) five-factor model	0.2145	0.4951	0.7916	0.6756
Five-factor model (turnover rate as liquidity measure)	0.6593	0.1641	0.9358	0.5293
Five-factor model (illiquidity cost as liquidity measure)	0.6638	0.1616	1.1138	0.3445

	AverageR-squared	Average $\| I n t e r c e p t \|$	GRS	p(GRS)
Four-factor model	0.6524	0.1463	0.7473	0.7038
Fama and French (2015) five-factor model	0.2145	0.4951	0.7916	0.6756
Five-factor model (turnover rate as liquidity measure)	0.6593	0.1641	0.9358	0.5293
Five-factor model (illiquidity cost as liquidity measure)	0.6638	0.1616	1.1138	0.3445

Source(s): Own elaboration based on data taken from Thomson-Reuters DataStream