P-Value (Familiarity)

Unfamiliar Assets

Familiar Assets

Timing

Order

0.005

−0.179

−0.516

Before CAPM

Return and then Risk

0.010

+0.017

−0.252

After CAPM

0.066

0.058

P-Value (Timing)

0.487

−0.223

−0.226

Before CAPM

Risk and then Return

0.083

−0.033

−0.186

After CAPM

0.0495

0.4

P-Value (Timing)