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)