Quintiles

Alpha (%)

MOM

Control for Five Factors

N

R²

Low

17.86

8.48

Yes

6012

49.9%

(8.64)***

(3.49)***

Q2

14.35

2.42

Yes

6012

50.8%

(6.04)***

(0.87)

Q3

15.19

−0.43

Yes

6012

55.4%

(6.48)***

(−0.16)

Q4

11.14

6.90

Yes

6012

55.8%

(4.85)***

(2.55)**

High

9.03

8.46

Yes

6012

57.9%

(3.71)***

(2.95)***

Low-High

8.83

0.02

Yes

6012

14.0%

(3.42)***

(0.01)