Quintiles

Alpha (%)

Recession

Control for Five Factors

N

R²

Low

19.01

−3.49

Yes

6012

49.8%

(7.83)***

(−0.75)

Q2

16.35

−7.06

Yes

6012

50.8%

(5.87)***

(−1.33)

Q3

17.91

−9.90

Yes

6012

55.5%

(6.51)***

(−1.89)*

Q4

14.17

−10.44

Yes

6012

55.8%

(5.25)***

(−2.03)**

High

11.88

−9.68

Yes

6012

57.9%

(4.16)***

(−1.77)*

Low-High

7.13

6.19

Yes

6012

14.0%

(2.36)**

(1.87)*