(7)

(8)

(9)

Coef.

t

Coef.

t

Coef.

t

_cons

0.0123

1.5100

−0.0736

−11.9100

−0.2249

−5.7600

${\beta }_r^R$

0.0001

0.7800

−0.0001

−1.1100

0.0000

0.0200

${\beta }_c^C$

0.0000

0.3400

−0.0002

−2.5900

−0.0003

−4.4100

${\beta }_r^C$

−0.0553

−1.2000

0.0659

2.6600

0.0233

1.1300

${\beta }_c^R$

−0.0124

−0.2500

0.0405

2.8600

0.0276

2.3300

illiq

0.0044

2.2500

0.0090

5.5500

0.0100

5.1400

Cov(r, c)

2.4554

9.8000

2.7269

8.9800

IVOL

4.5802

21.3800

5.0789

23.0500

ivolliq

0.0034

3.0600

0.0054

4.5000

SIZE

0.0140

3.8800

BM

−0.0011

−0.3600

TURN

−0.0124

−2.3600

RET12M

−0.0194

−7.2000

F

2.0400

85.9800

83.9500

Prob > F

0.0782

0.0000

0.0000

R-squared

0.0465

0.2434

0.3094