不含资产 价格模型

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

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

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

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

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

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

${\beta }_0$

0.1353^*

0.11018^*

0.0647

0.0567

0.0657

0.0820

0.1003^*

${\beta }_5$

0.9758^**

1.0107^***

1.0176^***

1.0181^***

1.0159^***

1.0131^***

1.0105^***

${\beta }_1$

0.0845^*

0.2371^***

0.2551^***

0.2648^***

0.2719^***

0.2794^***

0.2861^***

${\beta }_2$

0.0361^**

−0.0044

−0.01463

−0.01739

−0.01718

−0.01694

−0.0165

${\beta }_3$

0.5155^***

1.3656^***

3.1568^***

6.9566^***

15.054^***

31.679^***

${\beta }_4$

−1.6362^***

−2.6175^***

−4.9404^***

−10.078^***

−20.960^***

−42.981^***

R²

0.9811

0.9745

0.9732

0.9732

0.9718

0.9703

0.9679

调整R²

0.9806

0.9733

0.9720

0.9720

0.9705

0.9690

0.9664

S.E.

0.4751

0.5569

0.5702

0.5702

0.5858

0.6005

0.6250

SSE

1.7941

1.8876

1.8921

1.8928

1.9238

1.9468

1.9773

J统计量

6.8785

13.079

13.085

13.085

12.307

11.576

10.879

P值

0.6497

0.8344

0.8341

0.8341

0.8720

0.9029

0.9278