Portfolio

a (%)

R_m-R_f

SMB

HML

PY1YR

I. crisis

C. crisis

Adj R²

Best-in-class (environment)

12.00^***

(3.09)

0.95^***

(14.29)

−0.30^***

(−3.12)

−0.39^***

(−3.67)

−0.19^***

(−3.40)

−0.02^**

(−2.34)

0.00

(0.02)

0.63

Worst-in-class (environment)

8.40

(1.45)

0.94^***

(6.60)

0.01

(0.07)

−0.51^***

(−3.58)

0.07

(0.59)

0.03^***

(3.11)

0.01

(0.93)

0.37

Difference PF

3.60

(0.69)

0.01

(0.07)

−0.29^*

(−1.94)

0.13

(0.58)

−0.26^*

(−1.74)

−0.05^***

(−3.73)

−0.01

(−1.20)

0.10

Best-in-class (employee)

8.40^**

(2.42)

1.02^***

(12.07)

−0.11

(−1.05)

−0.46^***

(−4.83)

−0.07

(−1.17)

0.00

(0.29)

0.00

(0.44)

0.67

Worst-in-class (employee)

1.20

(0.32)

0.75^***

(8.63)

0.02

(0.18)

0.07

(0.54)

−0.13

(−1.55)

0.01^*

(1.82)

0.02^***

(2.78)

0.49

Difference PF

7.20

(1.64)

0.27^**

(2.34)

−0.13

(−1.28)

−0.52^***

(−3.38)

0.06

(0.52)

−0.01

(−1.14)

−0.02^*

(−1.75)

0.21

Best-in-class (community)

4.80

(1.56)

0.92^***

(12.24)

−0.11

(−1.17)

−0.33^***

(−3.75)

−0.24^**

(−2.59)

0.01

(0.90)

0.01

(1.32)

0.64

Worst-in-class (community)

7.20

(1.62)

0.84^***

(8.85)

0.38^***

(3.17)

−0.27^***

(−3.00)

−0.13

(−1.15)

0.01

(0.90)

1.01

(1.21)

0.52

Difference PF

−2.40

(−0.39)

0.06

(0.56)

0.27^***

(−3.68)

−0.06

(−0.67)

−0.11

(−1.28)

0.00

(0.29)

−1.00

(−0.50)

0.09