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

283 NTU Management Review Vol. 30 No. 2 Aug. 2020 Table 6 Risk Regression Analysis for Model 4 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 CSRCOMPOSIT -0.579** -0.015** -0.390** -0.007** 0.024 0.000 -1.760*** -0.032** (-2.29) (-2.10) (-2.33) (-1.98) (0.40) (0.06) (-2.80) (-1.79) SIZE -0.014 -0.014 -0.006** -0.006** -0.002 -0.002 0.059** 0.058** (-1.08) (-1.07) (-2.42) (-2.39) (-0.98) (-0.97) (2.16) (2.18) BTM -0.046** -0.045** -0.061*** -0.061*** 0.016*** 0.016*** 0.082** 0.083*** (-2.38) (-2.37) (-13.46) (-13.32) (9.39) (9.35) (2.57) (2.60) STDRET -0.304 -0.299 0.045 0.049 0.062** 0.061** 8.056*** 8.075*** (-0.71) (-0.70) (0.84) (0.90) (2.27) (2.25) (8.03) (8.04) FRET1 -0.059* -0.059* -0.010 -0.010 0.001 0.001 -0.112 -0.113 (-1.78) (-1.79) (-0.92) (-0.95) (0.29) (0.29) (-0.97) (-0.98) ILLIQ 0.109 0.108 0.032 0.030 -0.090*** -0.090*** -1.208** -1.216** (0.33) (0.32) (1.51) (1.40) (-3.51) (-3.52) (-2.23) (-2.25) STD_SALES 0.109 0.110 -0.002 -0.001 -0.006 -0.006 -0.291* -0.287* (1.42) (1.43) (-0.10) (-0.05) (-0.57) (-0.58) (-1.72) (-1.70) LOSS 0.035 0.035 -0.024*** -0.024*** 0.010 0.010 0.116 0.114 (0.54) (0.54) (-3.15) (-3.20) (1.19) (1.19) (1.03) (1.02) SALES_GROWTH -0.043** -0.042** 0.004 0.004 0.001 0.001 -0.034 -0.033 (-2.49) (-2.48) (0.88) (0.90) (0.40) (0.39) (-1.21) (-1.18) CYCLE 0.068*** 0.068*** -0.007 -0.007 0.007* 0.007* -0.033 -0.033 (3.16) (3.16) (-1.49) (-1.50) (1.91) (1.91) (-0.75) (-0.75) INTENSITY -0.009 -0.005 0.030** 0.032** 0.000 -0.000 0.132 0.146 (-0.10) (-0.06) (2.21) (2.33) (0.00) (-0.01) (0.78) (0.86) CASH_RATIO -0.012 -0.012 0.004 0.004 0.004 0.004 0.001 0.001 (-0.58) (-0.58) (1.05) (1.04) (1.02) (1.02) (0.04) (0.03)