Panel A: Regression results of different weighted portfolios

Equal-weighted portfolio

Outstanding market capitalization weighted portfolio

Total market capitalization weighted portfolio

Raw return

FF3 α

Raw return

FF3 α

Raw return

FF3 α

α (%)

t

α (%)

t

α (%)

t

Low max

1.32

0.19***

4.26

1.32

0.18

4.03

1.32

0.33***

7.44

D2

1.73

0.51***

11.04

1.74

0.50***

10.59

1.74

0.63***

13.41

D3

1.82

0.57***

11.81

1.82

0.57***

11.5

1.82

0.70***

14.21

D4

1.73

0.54***

10.52

1.73

0.53***

10.18

1.73

0.66***

12.87

D5

1.72

0.46***

8.68

1.72

0.45***

8.31

1.72

0.58***

10.87

D6

1.72

0.34***

6.28

1.72

0.33***

5.93

1.72

0.46***

8.34

D7

1.41

0.07

1.26

1.41

0.07

1.29

1.41

0.18***

3.2

D8

1.16

−0.01

−0.20

1.16

−0.03

−0.49

1.16

0.11**

1.86

D9

0.78

−0.55***

−9.14

0.78

−0.57***

−9.34

0.78

−0.43***

−6.97

High max

−0.05

−1.35***

−21.38

−0.05

−1.35***

−21.2

−0.05

−1.19***

−18.76

Panel B: Long-short portfolio return regression results

H-L

−1.37

−1.54

−3.52

−1.37

−1.53

−3.48

−1.37

−1.52***

−3.5