Significance Level

Using Equation (1)

Using Equation (4)

No. of Stocks

${\beta }_2$

No. of Stocks

${\beta }_2$

1% Level

16

2.06%

37

4.76%

5% Level

67

8.62%

112

14.41%

10% Level

101

13.00%

178

22.91%