Table 1: The OLS estimates without (with) considering co-skewness and co-kurtosis.

VariablesParametersWOSKWSK
CoefficientsS.Et-valueCoefficientsS.Et-value

Constant 0.0524@0.21170.240.2548@0.42690.59
Market return 0.5244*0.038513.600.5251*0.038913.49
Market capitalization −0.0062@0.0109−0.56−0.0063@0.0109−0.57
Book to market ratio −0.0742*0.0179−4.13−0.0735*0.0179−4.08
Market value 0.0085@0.00761.120.0081@0.00761.05
Co-skewness −0.05993***0.0436−1.72
Co-kurtosis 0.0227***0.03571.65
Sigma-squared 0.20830.2081

Significance level at 1%, 5%, and 10% consecutively, @means insignificant, S.E: standard error.