Multilayer Network Risk Factor Pricing Model

Table 2

Fitting effect of different factor models.

Size quintile	Book-to-market equity quintiles
	Low	2	3	4	High	Low	2	3	4	High
	Panel A: three-factor model					Panel B: multilayer network risk factor pricing model
Small	0.642	0.937	0.942	0.939	0.930	0.720	0.952	0.955	0.953	0.937
2	0.906	0.931	0.940	0.950	0.954	0.922	0.960	0.962	0.972	0.967
3	0.874	0.895	0.925	0.944	0.959	0.909	0.932	0.955	0.971	0.970
4	0.860	0.889	0.900	0.938	0.942	0.900	0.947	0.934	0.958	0.946
Big	0.907	0.917	0.896	0.903	0.905	0.930	0.927	0.905	0.903	0.905