Dependent variable

Independent variable dummies assigned

Dummy Variable 1

Dummy variable 0

Coeff

t-stat

Adj R²

R_i

Portfolio 1

Portfolios 2-10

0.0057

3.817***

0.0001

R_i

Portfolio 10

Portfolios 1-9

0.0107

7.148***

0.0006

R_i

Portfolios 1&10

Portfolios 2-9

0.0093

8.221***

0.0008

Adjusted R_i

Portfolio 1

Portfolios 2-10

0.0026

1.901*

0.0000

Adjusted R_i

Portfolio 10

Portfolios 1-9

0.0011

0.771

0.0000

Adjusted R_i

Portfolios 1&10

Portfolios 2-9

0.0012

1.133

0.0000