n = 100, m = 3	0.05	$\hat{β} (Xue)$	−0.0388	0.0162	−0.0425	0.0188	−0.0271	0.0170	−0.0395	0.0196
		$\hat{β} (Exch)$	−0.0294	0.0101	−0.0265	0.0071	−0.0225	0.0098	−0.0300	0.0073
		$\hat{β} (AR-1)$	−0.0319	0.0103	−0.0269	0.0076	−0.0241	0.0098	−0.0279	0.0070
		$\hat{β} (Ind)$	−0.0318	0.0110	−0.0279	0.0106	−0.0242	0.0107	−0.0311	0.0114
	0.1	$\hat{β} (Xue)$	−0.0378	0.0224	−0.0326	0.0199	−0.0240	0.0221	−0.0408	0.0267
		$\hat{β} (Exch)$	−0.0238	0.0112	−0.0202	0.0064	−0.0250	0.0117	−0.0313	0.0120
		$\hat{β} (AR-1)$	−0.0221	0.0111	−0.0213	0.0062	−0.0243	0.0115	−0.0328	0.0117
		$\hat{β} (Ind)$	−0.0230	0.0115	−0.0260	0.0093	−0.0255	0.0118	−0.0296	0.0151
	0.2	$\hat{β} (Xue)$	−0.0572	0.0356	−0.0358	0.0274	−0.0198	0.0290	−0.0323	0.0345
		$\hat{β} (Exch)$	−0.0244	0.0121	−0.0243	0.0100	−0.0197	0.0109	−0.0261	0.0121
		$\hat{β} (AR-1)$	−0.0249	0.0122	−0.0219	0.0099	−0.0198	0.0108	−0.0240	0.0123
		$\hat{β} (Ind)$	−0.0261	0.0128	−0.0261	0.0137	−0.0208	0.0111	−0.0228	0.0143
n = 100, m = 10	0.05	$\hat{β} (Xue)$	−0.0138	0.0050	−0.0143	0.0054	−0.0167	0.0050	−0.0055	0.0053
		$\hat{β} (Exch)$	−0.0108	0.0022	−0.0074	0.0012	−0.0140	0.0028	−0.0116	0.0024
		$\hat{β} (AR-1)$	−0.0105	0.0026	−0.0067	0.0014	−0.0148	0.0027	−0.0099	0.0017
		$\hat{β} (Ind)$	−0.0106	0.0029	−0.0100	0.0027	−0.0136	0.0029	−0.0080	0.0032
	0.1	$\hat{β} (Xue)$	−0.0177	0.0068	−0.0148	0.0063	−0.0136	0.0058	−0.0173	0.0059
		$\hat{β} (Exch)$	−0.0096	0.0026	−0.0112	0.0014	−0.0111	0.0026	−0.0118	0.0024
		$\hat{β} (AR-1)$	−0.0101	0.0027	−0.0114	0.0017	−0.0119	0.0025	−0.0100	0.0018
		$\hat{β} (Ind)$	−0.0110	0.0030	−0.0145	0.0028	−0.0114	0.0027	−0.0130	0.0030
	0.2	$\hat{β} (Xue)$	−0.0145	0.0092	−0.0131	0.0111	−0.0168	0.0098	−0.0142	0.0087
		$\hat{β} (Exch)$	−0.0095	0.0025	−0.0103	0.0027	−0.0135	0.0041	−0.0092	0.0025
		$\hat{β} (AR-1)$	−0.0094	0.0026	−0.0104	0.0035	−0.0130	0.0037	−0.0072	0.0022
		$\hat{β} (Ind)$	−0.0096	0.0029	−0.0091	0.0042	−0.0127	0.0041	−0.0109	0.0031