不含资产价格模型

$\begin{array}{l}{m}_y=5\\ n_y=5\end{array}$

$\begin{array}{l}{m}_y=7\\ n_y=5\end{array}$

$\begin{array}{l}{m}_y=9\\ n_y=5\end{array}$

$\begin{array}{l}{m}_y=11\\ n_y=5\end{array}$

$\begin{array}{l}{m}_y=13\\ n_y=5\end{array}$

$\begin{array}{l}{m}_y=15\\ n_y=5\end{array}$

${\beta }_0$

−0.0092

0.1283^***

0.1240^***

0.1257^***

0.1251^***

0.1249^***

0.1233^***

${\beta }_5$

0.9994^***

0.9885^***

0.9900^***

0.9904^***

0.9920^***

0.9936^***

0.9945^***

${\beta }_1$

0.0560

0.1330^***

0.1545^***

0.1695^***

0.1812^***

0.1924^***

0.1972^***

${\beta }_2$

0.0189

0.0178^***

0.0111^*

0.0081

0.0060

0.0046

0.0044

${\beta }_3$

0.3078^**

0.7468^***

1.6522^***

3.6864^***

8.0293^***

16.486^***

${\beta }_4$

−1.0097^***

−1.7333^***

−3.060^***

−5.9418^***

−11.833^***

−22.906^***

R²

0.9802

0.9801

0.97945

0.9789

0.9781

0.9771

0.9762

调整R²

0.9797

0.9791

0.9785

0.97795

0.9771

0.9760

0.9751

S.E.

0.4672

0.4733

0.4810

0.4875

0.4966

0.5076

0.5173

SSE

1.7020

1.8944

1.9167

1.9301

1.9362

1.9449

1.9562

J统计量

11.297

15.658

14.847

14.420

13.892

13.405

13.088

P值

0.5859

0.9591

0.9715

0.9767

0.9822

0.9864

0.9886