Complexity / 2020 / Article / Tab 2

Research Article

Multilayer Network Risk Factor Pricing Model

Table 2

Fitting effect of different factor models.

Size quintileBook-to-market equity quintiles
Low234HighLow234High

Panel A: three-factor modelPanel B: multilayer network risk factor pricing model
Small0.6420.9370.9420.9390.9300.7200.9520.9550.9530.937
20.9060.9310.9400.9500.9540.9220.9600.9620.9720.967
30.8740.8950.9250.9440.9590.9090.9320.9550.9710.970
40.8600.8890.9000.9380.9420.9000.9470.9340.9580.946
Big0.9070.9170.8960.9030.9050.9300.9270.9050.9030.905

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