EW

VW

BA12

LOT12

CS12

C^gibbs

Co-cost

BA12

LOT12

CS12

C^gibbs

Co-cost

196307-201106

196401-201012

196307-201106

196401-201012

H−L

0.227

(1.31)

0.041

(0.21)

0.207

(1.01)

0.473

(2.02)

0.289

(1.07)

0.115

(0.75)

−0.079

(0.35)

−0.199

(−0.92)

0.242

(1.04)

0.035

(0.12)

${\alpha }_{FF3FM}$

0.039

(0.27)

−0.249

(−1.84)

-0.146

(-1.03)

0.021

(0.13)

−0.161

(−0.72)

−0.141

(−1.21)

−0.597

(−3.90)

−0.435

(−2.79)

−0.272

(−2.03)

−0.628

(−2.68)

${\alpha }_{FF5FM}$

0.049

(0.33)

−0.107

(−0.78)

0.176

(1.44)

0.391

(2.57)

0.174

(0.78)

−0.134

(−1.14)

−0.520

(−3.39)

0.058

(0.42)

0.165

(1.39)

−0.480

(−1.98)

${\alpha }_{LCAPM}$

−0.245

(−1.54)

−0.358

(−1.80)

-0.019

(-0.09)

0.083

(0.34)

−0.210

(−0.76)

−0.153

(−0.99)

−0.352

(−1.52)

−0.114

(−0.57)

0.062

(0.26)

−0.483

(−1.62)

${\alpha }_{PS}$

−0.050

(−0.33)

−0.276

(−1.87)

-0.109

(-0.67)

0.017

(0.09)

−0.169

(−0.68)

−0.248

(−1.97)

−0.537

(−3.24)

−0.454

(−2.66)

−0.314

(−2.01)

−0.727

(−2.80)