Mean | SDev | CAPM-α | FF3-α |
Very Dirty Portfolio (11 stocks) | |||
0.3686 | 0.3117 | 0.2124 | 0.1772 |
|
| (1.185) | (1.126) |
Medium Portfolio (15 stocks) | |||
0.6288 | 0.4036 | 0.4821 | 0.4383 |
|
| (1.815) | (1.750) |
Clean Portfolio (464 stocks) | |||
0.5390 | 0.3254 | 0.3641* | 0.3245* |
|
| (2.087) | (2.241) |
Very Dirty-minus-Clean Portfolio | |||
−0.1705 | 0.3059 | −0.1517* | −0.1473* |
|
| (−2.467) | (−2.349) |