Table 6 Regression results of three-factor model with idiosyncratic volatility for six portfolios \(R_{Pt} {-} \, R_{Ft} = \, a \, + \, b \, \left( {R_{Mt} - R_{Ft} } \right) \, + \, s\,{\text{ SMB}}_{t} + \, v\,{\text{ LvMHv}}_{t} + \, e_{t}\)

0.003

0.003

0.004

0.002

0.003

0.003

0.003

0.002

0.004

0.004

0.003

0.002

2.014

2.003

1.961

1.996

1.953

1.993

1.970

1.979

1.977

1.944

2.006

2.017

0.642

0.648

0.527

− 0.240

− 0.177

− 0.166

0.548

0.280

0.068

0.044

− 0.063

0.180

− 0.112

0.476

0.180

0.075

0.076

0.258

0.458

0.147

0.004

− 0.006

0.142

0.008

1.512

1.376

1.917

1.272

1.547

1.461

1.600

0.814

1.859

2.019*

1.402

1.121

5.469*

5.490*

5.560*

5.626*

5.994*

6.476*

5.988*

5.840*

5.879*

5.488*

5.647*

5.334*

3.227*

3.730*

2.834*

− 1.365

− 1.001

− 1.026

2.902*

1.583

0.370

0.245

− 0.317

0.991

− 0.459

2.244*

0.794

0.349

0.350

1.307

1.983*

0.681

0.019

− 0.027

0.590

0.035

0.966

0.973

0.968

0.973

0.971

0.977

0.967

0.972

0.970

0.969

0.966

0.971

0.002

0.002

0.004

0.002

0.001

0.004

1.998

1.992

2.001

1.947

1.955

2.017

− 0.078

0.200

0.073

0.384

0.394

0.161

0.462

0.727

0.456

0.167

− 0.110

− 0.576

1.355

1.093

1.936

1.105

0.747

2.006*

6.767*

5.061*

5.446*

4.472*

5.152*

5.802*

− 0.517

1.089

0.400

1.919

2.267*

0.879

2.494*

3.240*

2.038*

0.681

− 0.520

− 2.569*

0.980

0.970

0.970

0.963

0.972

0.971