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)