Portfolio | a (%) | Rm-Rf | SMB | HML | PY1YR | I. crisis | C. crisis | Adj R2 |
Best-in-class (environment) | 6.00** (2.32) | 0.75*** (10.40) | −0.43*** (−7.41) | 0.16 (1.62) | 0.06 (1.01) | 0.02*** (3.85) | 0.01* (1.77) | 0.49 |
Worst-in-class (environment) | 0.00 (0,23) | 0.71*** (8.78) | −0.39*** (−3.95) | 0.22* (1.78) | 0.04 (0.50) | 0.00 (0.02) | 0.01 (1.48) | 0.40 |
Difference PF | 6.00* (2.12) | 0.04 (0.52) | −0.04 (−0.33) | −0.06 (−0.39) | 0.02 (0.28) | 0.02*** (4.44) | 0.00 (0.14) | 0.00 |
Best-in-class (employee) | 6.00*** (3.01) | 0.77*** (9.12) | −0.40*** (−6.81) | 0.11 (1.06) | 0.04 (0.82) | 0.00 (0.31) | 0.04 (0.82) | 0.58 |
Worst-in-class (employee) | 3.60 (1.41) | 0.85*** (10.83) | −0.16** (−2.16) | 0.34*** (3.28) | −0.01 (−0.07) | 0.01 (1.34) | 0.01* (1.96) | 0.52 |
Difference PF | 2.40 (0.71) | −0.08 (−1.07) | −0.24** (−2.59) | −0.23* (−1.80) | 0.05 (0.78) | −0.01 (−1.12) | 0.00 (0.48) | 0.06 |
Best-in-class (community) | 4.80** (2.58) | 0.67*** (7.83) | −0.48*** (−7.50) | 0.04 (0.38) | 0.05 (0.81) | 0.01 (1.30) | 0.01 (1.33) | 0.49 |
Worst-in-class (community) | 6.00*** (2.65) | 0.81*** (11.05) | −0.38*** (−3.79) | 0.20 (1.44) | 0.05 (0.72) | 0.00 (1.38) | 0.01** (2.13) | 0.50 |
Difference PF | −2.20 (−0.14) | −0.14* (−1.69) | −0.10 (−0.72) | −0.16 (−0.97) | 0.00 (0.03) | 0.01 (1.10) | 0.00 (0.18) | 0.01 |