Quintiles

Alpha (%)

MKT

SMB

HML

RMW

CMA

N

R²

Low

18.05

−1.29

−0.89

−2.12

−1.00

−3.26

6012

49.8%

(8.73)***

(−70.98)***

(−23.64)***

(−0.60)

(−0.23)

(−0.76)

Q2

14.41

−1.51

−0.86

0.52

−1.48

−12.28

6012

50.8%

(6.07)***

(−72.14)***

(−19.87)***

(0.13)

(−0.30)

(−2.49)**

Q3

15.19

−1.63

−0.93

0.03

0.03

−7.85

6012

55.4%

(6.48)***

(−79.00)***

(−21.83)***

(0.01)

(0.01)

(−1.61)

Q4

11.30

−1.57

−0.69

2.81

14.74

−2.68

6012

55.8%

(4.92)***

(−77.68)***

(−16.54)***

(0.72)

(3.05)***

(−0.56)

High

9.22

−1.69

−0.40

11.31

11.44

−6.11

6012

57.9%

(3.79)***

(−78.93)***

(−9.00)***

(2.73)***

(2.24)**

(−1.21)

Low-High

8.83

0.40

−0.49

−13.43

−12.44

2.85

6012

14.0%

(3.43)***

(17.57)***

(−10.47)***

(−3.06)***

(−2.30)**

(0.53)