| model | | t-stats | p | Sub-sample |
| CAPM | −0.00396 | −4.25 | 0.000144 | B/P grouping, upper 30% |
| Carhart four-factor | −0.00616 | −4.44 | 9.52e−5 | |
| Fama five-factor | −0.00631 | −4.11 | 0.000257 | |
| CAPM | −0.00480 | −3.70 | 0.000723 | B/P grouping, middle 40% |
| Carhart four-factor | −0.00229 | −1.40 | 0.172 | |
| Fama five-factor | −0.00089 | −0.603 | 0.551 | |
| CAPM | −0.00878 | −5.32 | 5.69e−6 | B/P grouping, lower 30% |
| Carhart four-factor | −0.00267 | −1.09 | 0.284 | |
| Fama five-factor | −0.00206 | −0.978 | 0.336 | |
| CAPM | −0.00510 | −4.38 | 9.95e−5 | E/P grouping, upper 30% |
| Carhart four-factor | −0.00759 | −4.05 | 0.000288 | |
| Fama five-factor | −0.00917 | −5.19 | 1.14e−5 | |
| CAPM | −0.00356 | −3.17 | 0.00311 | E/P grouping, middle 40% |
| Carhart four-factor | −0.00202 | −1.29 | 0.205 | |
| Fama five-factor | −0.000510 | −0.346 | 0.732 | |
| CAPM | −0.00892 | −3.68215 | 0.000754 | E/P grouping, lower 30% |
| Carhart four-factor | −0.00147 | −0.384 | 0.704 | |
| Fama five-factor | −0.00149 | −0.449 | 0.658 |