Portfolio

α

β

R2

p-value

SL

0.003

0.003

0.000

0.924

SM

−0.002

0.232

0.364

0.000

SH

−0.005

0.159

0.200

0.000

BL

0.002

0.435

0.708

0.000

BM

−0.003

0.440

0.576

0.000

BH

−0.004

0.448

0.505

0.000