Complexity / 2020 / Article / Tab 3

Research Article

Multilayer Network Risk Factor Pricing Model

Table 3

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

Size quintileBook-to-market equity quintiles
Low234HighLow234High

Small4.4660.0860.1620.1100.3548.8020.6861.3370.8642.504
20.123−0.187−0.0120.0050.2070.789−1.656−0.1170.04892.045
3−0.284−0.265−0.118−0.0460.335−1.748−1.814−1.044−0.5093.531
4−0.287−0.507−0.1740.1640.585−1.808−4.313−1.2211.4904.704
Big0.1260.4620.4720.9911.0981.0973.5613.0775.9707.217
Small2.8850.5430.5970.5460.5959.2236.9987.9786.9376.821
20.2970.2340.2230.2810.3543.0993.3673.4064.7455.672
30.011−0.115−0.0220.0180.2660.106−1.284−0.3210.3214.554
4−0.256−0.389−0.168−0.1000.173−2.622−5.365−1.914−1.4712.256
Big−0.769−0.667−0.629−0.343−0.207−10.89−8.342−6.653−3.347−2.204
Small−1.5370.0180.0430.1300.161−7.7200.3630.9062.6042.891
2−0.186−0.1380.0290.1850.345−3.051−3.1250.6934.9158.688
3−0.407−0.1750.0270.1270.343−6.390−3.0600.6163.6209.217
4−0.358−0.263−0.1620.0600.512−5.755−5.694−2.8951.40010.49
Big−0.736−0.4470.0240.3170.565−16.37−8.7740.3944.8729.462
Small−3.2840.8650.7850.8810.610−6.5656.9716.5597.0054.369
20.8681.1801.0031.0180.8025.65710.629.59610.768.044
31.2321.3131.1371.0570.7047.6989.13110.1711.947.530
41.2411.4961.2450.9110.4517.93812.928.8798.4063.679
Big0.7960.5810.5770.106−0.1277.0464.5463.8190.650−0.849

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

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