tikfed

Original Variables were lnM, Beta, lnPB and FF.

They were found to be statistically significant in the original model.
Now the explanation all corresponds to "omitting the lnM variable because you found out that it was correlated with B and FF".

Based on your new model - you might interpreting that Beta and Free Float have much more to do with the stock return - whereas, as your original equation had indicated - some of that was actually explained by Company size, which you now had missed - therefore your model is now misspecified due to leaving out the variable.

You are assigning much more of "explanation" of return (saying it is highly correlated much more with FF and B - though some of that is actually due to the size lnM.).

Hope this helps.

CP