Portl

Port2

Port3

Port4

Port5

Port6

Port7

Port8

Port9

Port10

High-Low

excess return

−0.0018

0.0001

0.0005

0.0012

0.001

0.0013

0.0006

0.0008

−0.0007

−0.0028

−0.001

t-stats

−0.9395

0.0441

0.6283

1.736

1.9305

1.8667

0.8687

0.7591

−0.5813

−1.4426

−0.2829

ff3-alpha

0.0008

0.0017

0.0014

0.0016

0.001

0.0008

−0.0002

−0.0003

−0.0021

−0.0046

−0.0055

t-stats

0.6281

1.6664

1.8583

2.7135

1.9357

1.1489

−0.3291

−0.3908

−2.2339

−3.2498

−2.3421