臺大管理論叢 NTU Management Review VOL.30 NO.2

281 NTU Management Review Vol. 30 No. 2 Aug. 2020 Table 5 Risk Regression Analysis for Model 3 β L Non-standard β L Standard cov ( L i , L m ) Non-standard cov ( L i , L m ) Standard cov ( L i , R m ) Non-standard cov ( L i , R m ) Standard β M Non-standard β M Standard COMMUNITY 0.059 0.006 0.013 -0.000 0.122** 0.004*** -0.509* -0.025** (0.28) (0.76) (0.31) (-0.16) (2.40) (2.50) (-1.48) (-2.36) ENVIRONMENT -0.390** -0.019** -0.054 -0.002 0.050 0.003* -0.535 -0.014 (-1.74) (-2.10) (-1.04) (-0.60) (1.02) (1.62) (-1.13) (-0.61) DIVERSITY -0.077 -0.006 -0.067** -0.006*** -0.037* -0.003 -0.578*** -0.030* (-0.62) (-0.58) (-2.19) (-2.46) (-1.36) (-1.07) (-2.74) (-1.44) EMPLOYEE 0.041 -0.008* -0.020 -0.001 -0.086** -0.004** -0.420** -0.014* (0.29) (-1.34) (-0.52) (-0.45) (-2.07) (-1.80) (-1.80) (-1.40) PRODUCT 0.064 -0.005 -0.061* -0.004 -0.011 -0.001 0.430* 0.016 (0.29) (-0.38) (-1.48) (-1.22) (-0.38) (-0.31) (1.30) (0.89) GOVERNANCE -0.265** -0.010* -0.153** -0.003 0.044 -0.001 0.271 0.008 (-1.76) (-1.64) (-1.81) (-0.96) (0.95) (-0.25) (0.50) (0.40) HUMAN 0.169 0.005 0.005 -0.001 0.032 -0.000 0.247 -0.004 (0.22) (0.38) (0.04) (-0.53) (0.31) (-0.03) (0.19) (-0.17) SIZE -0.013 -0.015 -0.006** -0.006** -0.000 -0.002 0.089*** 0.074** (-0.69) (-0.86) (-2.27) (-2.02) (-0.17) (-0.56) (2.62) (2.44) BTM -0.046** -0.045** -0.060*** -0.061*** 0.017*** 0.017*** 0.077** 0.081** (-2.48) (-2.42) (-14.41) (-13.02) (9.19) (9.60) (2.42) (2.54) STDRET -0.310 -0.297 0.040 0.047 0.067** 0.061** 8.081*** 8.083*** (-0.73) (-0.70) (0.76) (0.86) (2.53) (2.24) (8.05) (8.03) FRET1 -0.058** -0.059** -0.008 -0.010 0.001 0.001 -0.126 -0.118 (-1.75) (-1.77) (-0.87) (-0.95) (0.14) (0.32) (-1.07) (-1.02) ILLIQ 0.119 0.113 0.033 0.031 -0.087*** -0.088*** -1.135** -1.183** (-0.34) (0.33) (1.52) (1.45) (-3.31) (-3.36) (-2.16) (-2.22)