Table 8. Mean monthly percent excess...

Table 8.

Mean monthly percent excess returns for portfolios formed on a distress basis (October 2012–September 2022, 120 observations). Portfolios are rebalanced once a year. Using the Newey–West estimator, t-statistics are corrected for heteroscedasticity and autocorrelation up to four lags

Portfolios	P1	P2	P3	P4	P4 – P1
Mean	0.015**	0.021**	0.022*	0.037**	0.022**
t-stat	(1.96)	(2.26)	(3.88)	(2.46)	(2.50)

Note:

**shows significance at the 1, and 5%, respectively

Source: Researchers’ computation

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