Raw returns | Four-factor alpha | |||||||||||
All countries | Non-US | US | All | Non-US | US | |||||||
(1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | (10) | (11) | (12) | |
Low | 0.0583*** | 0.0530*** | 0.0598*** | 0.0391** | 0.0556*** | 0.0902*** | 0.0450*** | 0.0426*** | 0.0515*** | 0.0475*** | 0.0574*** | 0.0218 |
(0.00) | (0.00) | (0.00) | (0.04) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.23) | |
Low × Institutional | 0.0469** | 0.0514** | 0.0255 | 0.0416** | 0.0516** | 0.0319 | ||||||
(0.02) | (0.04) | (0.19) | (0.05) | (0.03) | (0.25) | |||||||
Mid | 0.0436*** | 0.0441*** | 0.0350*** | 0.0362*** | 0.0604*** | 0.0644*** | 0.0366*** | 0.0356*** | 0.0275*** | 0.0284*** | 0.0537*** | 0.0533*** |
(0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | |
Mid × Institutional | −0.0043 | −0.0132** | −0.0152** | 0.0059 | −0.0108* | 0.0007 | ||||||
(0.32) | (0.03) | (0.01) | (0.13) | (0.09) | (0.90) | |||||||
High | 0.1588*** | 0.1573*** | 0.1264*** | 0.1757*** | 0.2004*** | 0.1877*** | 0.1461*** | 0.1454*** | 0.1081*** | 0.1569*** | 0.2006*** | 0.1917*** |
(0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | |
High × Institutional | 0.0115 | −0.0734*** | 0.0288 | 0.0091 | −0.0674** | 0.0395 | ||||||
(0.52) | (0.00) | (0.15) | (0.66) | (0.02) | (0.15) | |||||||
Institutional | 0.0016 | −0.0059* | 0.0123*** | 0.0215*** | −0.0081*** | −0.0209*** | 0.0019 | −0.0060 | 0.0123*** | 0.0084 | −0.0075*** | −0.0144*** |
(0.26) | (0.10) | (0.00) | (0.00) | (0.00) | (0.00) | (0.20) | (0.10) | (0.00) | (0.15) | (0.00) | (0.00) | |
Control Variables | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Adjusted R-squared | 0.066 | 0.066 | 0.054 | 0.054 | 0.088 | 0.089 | 0.063 | 0.063 | 0.052 | 0.052 | 0.086 | 0.086 |
Number of observations | 543,867 | 543,867 | 352,669 | 352,669 | 191,198 | 191,198 | 543,867 | 543,867 | 352,669 | 352,669 | 191,198 | 191,198 |
Wald test βHigh = βLow (p-value) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) |