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 | ||||