模型编号

调整R²

截距

特质流动性波动率

非流动性指标

换手率

规模

账面市值比

收益市值比

动量因子

1

0.041

1.573

0.571

−3.493

(1.014)

(2.629)

(−5.362)

2

0.085

−5.878

10.829

0.654

−2.748

(−3.157)

(7.781)

(2.978)

(−4.693)

3

0.129

−4.644

0.076

5.856

1.279

−5.132

31.410

−0.105

(−3.200)

(3.896)

(11.220)

(6.530)

(−7.352)

(3.701)

(−8.802)

4

0.164

−10.107

9.923

0.027

5.260

1.151

−4.426

30.412

−0.115

(−5.559)

(7.591)

(1.426)

(10.307)

(5.837)

(−6.727)

(3.668)

(−9.275)