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