Factor: factor_var Return: aret_01 | |||||||||||
| Port1 | Port2 | Port3 | Port4 | Port5 | Port6 | Port7 | Port8 | Port9 | Port10 | High-Low |
excess_ret | −0.0021 | −0.0006 | 0.0011 | 0.0009 | −0.0001 | 0.0013 | 0.0010 | 0.0012 | −0.0003 | −0.0022 | −0.0035 |
t-stats | −0.9922 | −0.3912 | 1.1446 | 1.3357 | −0.1739 | 1.7342 | 1.2405 | 1.0245 | −0.2364 | −1.0455 | −0.0081 |
ff3-alpha | 0.0005 | 0.0012 | 0.0019 | 0.0013 | 0 | 0.0006 | 0.0001 | 0.0001 | −0.0016 | −0.0042 | −0.0047 |
t-stats | 0.3552 | 1.0693 | 2.3278 | 1.9072 | 0.0135 | 0.9431 | 0.2248 | 0.1264 | −1.5211 | −2.4531 | −1.7611 |