Multilayer Network Risk Factor Pricing Model

Table 3

Grouped regression results of the multilayer network risk factor pricing model.

Size quintile	Book-to-market equity quintiles
	Low	2	3	4	High	Low	2	3	4	High
Small	4.466	0.086	0.162	0.110	0.354	8.802	0.686	1.337	0.864	2.504
2	0.123	−0.187	−0.012	0.005	0.207	0.789	−1.656	−0.117	0.0489	2.045
3	−0.284	−0.265	−0.118	−0.046	0.335	−1.748	−1.814	−1.044	−0.509	3.531
4	−0.287	−0.507	−0.174	0.164	0.585	−1.808	−4.313	−1.221	1.490	4.704
Big	0.126	0.462	0.472	0.991	1.098	1.097	3.561	3.077	5.970	7.217
Small	2.885	0.543	0.597	0.546	0.595	9.223	6.998	7.978	6.937	6.821
2	0.297	0.234	0.223	0.281	0.354	3.099	3.367	3.406	4.745	5.672
3	0.011	−0.115	−0.022	0.018	0.266	0.106	−1.284	−0.321	0.321	4.554
4	−0.256	−0.389	−0.168	−0.100	0.173	−2.622	−5.365	−1.914	−1.471	2.256
Big	−0.769	−0.667	−0.629	−0.343	−0.207	−10.89	−8.342	−6.653	−3.347	−2.204
Small	−1.537	0.018	0.043	0.130	0.161	−7.720	0.363	0.906	2.604	2.891
2	−0.186	−0.138	0.029	0.185	0.345	−3.051	−3.125	0.693	4.915	8.688
3	−0.407	−0.175	0.027	0.127	0.343	−6.390	−3.060	0.616	3.620	9.217
4	−0.358	−0.263	−0.162	0.060	0.512	−5.755	−5.694	−2.895	1.400	10.49
Big	−0.736	−0.447	0.024	0.317	0.565	−16.37	−8.774	0.394	4.872	9.462
Small	−3.284	0.865	0.785	0.881	0.610	−6.565	6.971	6.559	7.005	4.369
2	0.868	1.180	1.003	1.018	0.802	5.657	10.62	9.596	10.76	8.044
3	1.232	1.313	1.137	1.057	0.704	7.698	9.131	10.17	11.94	7.530
4	1.241	1.496	1.245	0.911	0.451	7.938	12.92	8.879	8.406	3.679
Big	0.796	0.581	0.577	0.106	−0.127	7.046	4.546	3.819	0.650	−0.849

^∗∗∗, ^∗∗, and ^∗ indicate significance at the 1%, 5%, and 10% level, respectively.