不含资产 价格模型

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

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

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

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

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

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

${\beta }_0$

0.1051

0.2281^***

0.1923^***

0.1746^***

0.1606^***

0.1513^***

0.1470^***

${\beta }_5$

0.9686^***

0.9580^***

0.9666^***

0.9727^***

0.9782^***

0.9827^***

0.9850^***

${\beta }_1$

0.0673

0.0989^***

0.1131^***

0.1279^***

0.1428^***

0.1556^***

0.1639^***

${\beta }_2$

0.0184^*

0.0268^**

0.0213^***

0.0168^**

0.0132^**

0.0106

0.0093

${\beta }_3$

0.2825^***

0.6581^***

1.4933^***

3.3136^***

7.1562^***

14.7176^***

${\beta }_4$

−0.8469^***

−1.4456^***

−2.6832^***

−5.3068^***

−10.599^***

−20.635^***

R²

0.9819

0.9818

0.9813

0.9807

0.9799

0.9789

0.9779

调整R²

0.9814

0.9810

0.9805

0.9798

0.9790

0.9779

0.9769

S.E.

0.4472

0.4517

0.4581

0.4652

0.4755

0.4871

0.4985

SSE

1.8137

1.9247

1.9288

1.9313

1.9326

1.9346

1.9424

J统计量

10.719

10.948

14.722

14.324

13.860

13.329

12.927

P值

0.6343

0.6151

0.9731

0.9778

0.9825

0.9869

0.9897