Portfolio

a (%)

R_m-R_f

SMB

HML

PY1YR

Adj R²

Best-in-class

(environment)

7.20^***

(2.57)

0.70^***

(9.54)

−0.40^***

(−6.52)

0.19^*

(1.78)

0.06

(1.14)

0.47

Worst-in-class

(environment)

4.80^***

(3.16)

0.69^***

(8.97)

−0.39^***

(−4.21)

0.20^*

(1.76)

0.04

(0.48)

0.40

Difference PF

2.40

(0.94)

0.01

(0.01)

−0.01

(−0.09)

−0.01

(−0.09)

0.02

(0.18)

0.03

Best-in-class

(employee)

7.20^***

(3.78)

0.75^***

(9.14)

−0.40^***

(−6.51)

0.10

(0.99)

0.04

(0.80)

0.58

Worst-in-class

(employee)

6.00^**

(2.51)

0.82^***

(11.37)

−0.15^**

(−2.15)

0.33^***

(3.35)

−0.01

(−0.09)

0.52

Difference PF

1.20

(0.27)

−0.07

(−0.82)

−0.25^***

(−2.66)

−0.23^**

(−1.99)

0.05

(0.02)

0.02

Best-in-class

(community)

7.20^***

(4.08)

0.63^***

(7.75)

−0.47^***

(−7.25)

0.04

(0.39)

0.05

(0.84)

0.49

Worst-in-class

(community)

7.20^***

(3.72)

0.78^***

(10.71)

−0.38^***

(−4.06)

0.18

(1.38)

0.05

(0.69)

0.50

Difference PF

0.00

(0.17)

−0.15^*

(−1.89)

−0.09

(−0.67)

−0.14

(−0.97)

0.00

(1.41)

0.63