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)