Portfolio

a (%)

R_m-R_f

SMB

HML

PY1YR

I. crisis

C. crisis

Adj R²

Best-in-class (environment)

9.60^***

(3.50)

1.03^***

(18.14)

0.02

(0.21)

−0.35^***

(−5.51)

−0.15^**

(−2.58)

0.01

(1.42)

−0.00

(−0.21)

0.73

Worst-in-class (environment)

2.40

(0.99)

1.05^***

(27.55)

0.01

(0.02)

0.58^***

(5.81)

−0.19^***

(−2.76)

0.01

(1.26)

0.01

(1.13)

0.77

Difference PF

7.20^**

(2.29)

−0.02

(−0.23)

0.01

(0.07)

0.23^***

(7.23)

0.04

(0.34)

0.00

(0.01)

0.01

(0.09)

0.37

Best-in-class (employee)

8.40^***

(3.42)

1.08^***

(29.47)

0.10^**

(2.08)

−0.29^***

(−5.10)

−0.08^***

(−2.69)

0.00

(0.07)

0.00

(0.94)

0.80

Worst-in-class (employee)

7.20^***

(2.90)

1.02^***

(22.12)

0.20^***

(3.42)

0.09

(1.16)

−0.14^***

(−4.22)

0.00

(0.09)

0.00

(0.55)

0.80

Difference PF

1.20

(0.38)

0.06

(1.23)

−0.10

(−0.10)

−0.20^***

(−3.85)

0.06

(1.15)

0.00

(0.03)

0.00

(0.15)

0.13

Best-in-class (community)

4.80^**

(2.39)

0.94^***

(15.77)

0.07

(1.06)

−0.12^**

(−2.52)

−0.17^***

(−3.87)

0.01

(1.25)

0.01

(1.37)

0.78

Worst-in-class (community)

8.40^**

(2.55)

1.09^***

(32.89)

−0.00

(−0.06)

0.07

(0.59)

0.02

(0.46)

0.01

(1.49)

0.00

(0.57)

0.75

Difference PF

−3.60

(−0.89)

−0.15^**

(−2.34)

0.07

(0.85)

−0.05

(−1.25)

−0.19^***

(−2.70)

0.00

(0.28)

0.01

(0.20)

0.07