EW

VW

BA12

LOT12

CS12

C^gibbs

Co-cost

BA12

LOT12

CS12

C^gibbs

Co-cost

192707-196306

192801-196312

192707-196306

192801-196312

H−L

0.813

(1.96)

0.676

(1.55)

0.777

(1.80)

1.105

(2.18)

1.009

(1.98)

0.025

(0.09)

0.007

(0.03)

0.027

(0.10)

0.889

(1.94)

0.875

(2.03)

${\alpha }_{FF3FM}$

0.443

(1.79)

0.203

(0.80)

0.273

(1.13)

0.436

(1.61)

0.317

(1.14)

0.228

(0.91)

0.048

(0.18)

0.120

(0.50)

0.257

(0.99)

0.467

(1.46)

${\alpha }_{LCAPM}$

0.010

(0.03)

−0.181

(−0.54)

−0.147

(−0.47)

−0.065

(−0.18)

−0.157

(−0.43)

0.145

(0.55)

0.014

(0.05)

0.035

(0.13)

−0.142

(−0.42)

0.150

(0.41)