Table 2: Results for All Firms
This table describes estimation results for value-weighted portfolio returns
consisting of all S&P 500 and S&P 1500 sample firms, respectively, using
the four factor Model (1) as described in the main text. Alphas are on
a monthly basis. Standard errors are in parentheses. The number of
months used to estimate the model is given in the last column. ***, **,
and * indicate significance at the one, five, and ten percent level, respectively.
|
Portfolio |
α |
RMRF |
SMB |
HML |
Mom. |
Obs. |
|
S&P 1500 |
0.08 (0.083) |
0.928*** |
-0.071*** (0.021) |
0.009 (0.027) |
-0.039*** (0.012) |
120 |
|
S&P 500 |
0.132 |
0.903*** (0.022) |
0.12*** (0.023) |
-0.029 (0.029) |
-0.048*** (0.013) |
144 |
36
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