MA10

MA50

Quintiles

Alpha (%)

Control for

Five Factors

N

R²

Alpha (%)

Control for Five Factors

N

R²

Low

17.98

Yes

6012

47.4%

15.76

Yes

6012

48.3%

(8.56)***

(7.62)***

Q2

18.05

Yes

6012

50.9%

11.82

Yes

6012

51.4%

(7.57)***

(5.00)***

Q3

16.69

Yes

6012

56.0%

12.72

Yes

6012

56.0%

(7.10)***

(5.39)***

Q4

13.34

Yes

6012

55.0%

8.71

Yes

6012

56.4%

(5.73)***

(3.82)***

High

12.41

Yes

6012

56.4%

6.92

Yes

6012

58.0%

(4.99)***

(2.85)***

Low-High

5.57

Yes

6012

15.1%

8.84

Yes

6012

16.1%

(2.12)**

(3.54)***

MA100

MA200

Quintiles

Alpha (%)

Control for

Five Factors

N

R²

Alpha (%)

Control for Five Factors

N

R²

Low

11.23

Yes

6012

44.2%

8.28

Yes

6012

41.6%

(5.39)***

(3.91)***

Q2

8.08

Yes

6012

47.9%

5.54

Yes

6012

45.2%

(3.32)***

(2.25)**

Q3

8.48

Yes

6012

52.8%

6.72

Yes

6012

49.6%

(3.51)***

(2.73)***

Q4

5.08

Yes

6012

53.7%

3.58

Yes

6012

50.9%

(2.18)**

(1.50)

High

5.29

Yes

6012

56.5%

3.32

Yes

6012

54.1%

(2.13)**

(1.31)

Low-High

5.94

Yes

6012

18.4%

4.95

Yes

6012

17.2%

(2.32)**

(1.85)*