Factor: factor_60-day momentum Return: aret_01 | |||||||||||
| Port1 | Port2 | Port3 | Port4 | Port5 | Port6 | Port7 | Port8 | Port9 | Port10 | High-Low |
excess_ret | −0.0003 | −0.0009 | 0.0007 | 0.0017 | 0.0010 | 0.0012 | 0.0012 | 0.0008 | −0.0013 | −0.0041 | −0.0038 |
t-stats | −0.1611 | −0.7215 | 0.6918 | 1.9877 | 1.6716 | 1.5455 | 1.3893 | 0.7854 | −1.0452 | −2.1855 | −1.1126 |
ff3-alpha | −0.0003 | −0.0009 | 0.0002 | 0.0015 | 0.0007 | 0.0008 | 0.0008 | 0.0008 | −0.0007 | −0.0029 | −0.0026 |
t-stats | −0.1680 | −0.7172 | 0.2319 | 1.8668 | 1.3379 | 1.0675 | 0.9635 | 0.7995 | −0.5893 | −1.6552 | −0.7789 |