| (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) | |