Mean | SDev | CAPM-α | FF3-α |
Dirty Portfolio (26 stocks) | |||
0.5187 | 0.3534 | 0.3680 | 0.3279 |
|
| (1.666) | (1.610) |
Clean Portfolio (464 stocks) | |||
0.5390 | 0.3254 | 0.3641* | 0.3245* |
|
| (2.087) | (2.241) |
Dirty-minus-Clean Portfolio | |||
−0.0203 | 0.4173 | 0.0039 | 0.0033 |
|
| (0.046) | (0.039) |