(0.3162)

(−0.3148)

(0.3003)

5 (high)

0.0106

0.0094

−0.0053

(0.4375)

(0.4867)

(−0.1319)

5 - 1 spread

0.007

−0.0004

−0.0115

(0.2392)

(−0.0208)

(−0.3523)

Quintiles

Panel C: Total market return

1 year

1.5 year

2 years

1 (low)

−0.0061

−0.0064

−0.0076

(−0.3993)

(−0.4249)

(−0.4504)

2

0.0000

−0.0008

−0.0003

(−0.0086)

(−0.1035)

(−0.0388)

3

−0.0002

−0.0019

−0.0017

(−0.0311)

(−0.2248)

(−0.1949)

4

−0.0019

−0.001

−0.0009

(−0.2095)

(−0.1419)

(−0.0999)

5 (high)

−0.0004

0.0004

−0.0008

(−0.0358)

(0.0427)

(−0.0786)

5 - 1 spread

0.0057

0.0068

0.0068

(0.5062)

(0.5301)

(0.5223)