Table 9. Mean monthly excess returns for...

Table 9.

Mean monthly excess returns for portfolio 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

Asset pricing model	Test portfolio	Α	β	SMB	HML	CMA	RMW	RD
Fama–French three-factor model	P1	0.04** (2.43)	1.59* (22.65)	0.34* (3.67)	−0.53* (−4.65)
	P2	0.062** (2.11)	1.58* (18.12)	0.503* (5.37)	−0.11 (−1.14)
	P3	0.02 (0.52)	1.68* (21.84)	0.72* (6.50)	0.21 (1.77)
	P4	−0.038** (−1.20)	1.86* (16.56)	0.59* (5.67)	0.87* (6.43)
Augmented Fama–French three-factor model	P1	0.054** (2.21)	1.16* (10.13)	0.19 (1.75)	−0.7* (−6.33)			0.17 (1.57)
	P2	0.076* (2.72)	1.00* (8.99)	0.29* (3.15)	−0.34* (−3.45)			0.24* (5.41)
	P3	0.031 (0.91)	1.08* (7.58)	0.51* (4.39)	−0.16 (−0.15)			0.24* (5.48)
	P4	0.014 (0.49)	0.91* (6.23)	0.25* (3.97)	0.49* (3.99)			0.37* (9.06)
Fama–French five-factor model	P1	0.0017 (0.51)	1.69* (21.17)	0.29* (3.58)	−0.29** (−2.28)	−0.089 (−0.91)	0.57* (3.85)
	P2	0.044 (0.32)	1.65* (0.00)	0.47* (0.00)	0.07 (0.59)	−0.11 (0.32)	0.38** (3.86)
	P3	0.05 (0.12)	1.73* (20.27)	0.72* (6.54)	0.19 (1.14)	0.28** (2.20)	0.27 (1.58)
	P4	−0.041 (−1.12)	1.87* (12.74)	0.6* (4.87)	0.81* (4.09)	0.19 (1.69)	0.062 (0.21)
Augmented Fama–French five-factor model	P1	0.029** (2.38)	1.19* (11.22)	0.101 (0.19)	−0.44* (0.00)	−0.18 (0.09)	0.59* (0.00)	0.21 (0.23)
	P2	0.016** (2.44)	1.02* (11.78)	0.22* (3.78)	−0.12 (−1.14)	−0.22** (−2.21)	0.42* (3.92)	0.26* (9.28)
	P3	0.019 (0.51)	1.14* (7.82)	0.49* (4.29)	0.018 (0.16)	0.17 (1.66)	0.30** (2.46)	0.24* (5.35)
	P4	0.014 (1.57)	0.93* (5.78)	0.24* (3.64)	0.52* (3.52)	0.302 (0.27)	0.11 (0.73)	0.39* (8.96)

Asset pricing model	Testportfolio	Α	β	SMB	HML	CMA	RMW	RD
Fama–French three-factor model	P1	0.04** (2.43)	1.59* (22.65)	0.34* (3.67)	−0.53* (−4.65)
	P2	0.062** (2.11)	1.58* (18.12)	0.503* (5.37)	−0.11 (−1.14)
	P3	0.02 (0.52)	1.68* (21.84)	0.72* (6.50)	0.21 (1.77)
	P4	−0.038** (−1.20)	1.86* (16.56)	0.59* (5.67)	0.87* (6.43)
Augmented Fama–Frenchthree-factor model	P1	0.054** (2.21)	1.16* (10.13)	0.19 (1.75)	−0.7* (−6.33)			0.17 (1.57)
	P2	0.076* (2.72)	1.00* (8.99)	0.29* (3.15)	−0.34* (−3.45)			0.24* (5.41)
	P3	0.031 (0.91)	1.08* (7.58)	0.51* (4.39)	−0.16 (−0.15)			0.24* (5.48)
	P4	0.014 (0.49)	0.91* (6.23)	0.25* (3.97)	0.49* (3.99)			0.37* (9.06)
Fama–French five-factor model	P1	0.0017 (0.51)	1.69* (21.17)	0.29* (3.58)	−0.29** (−2.28)	−0.089 (−0.91)	0.57* (3.85)
	P2	0.044 (0.32)	1.65* (0.00)	0.47* (0.00)	0.07 (0.59)	−0.11 (0.32)	0.38** (3.86)
	P3	0.05 (0.12)	1.73* (20.27)	0.72* (6.54)	0.19 (1.14)	0.28** (2.20)	0.27 (1.58)
	P4	−0.041 (−1.12)	1.87* (12.74)	0.6* (4.87)	0.81* (4.09)	0.19 (1.69)	0.062 (0.21)
Augmented Fama–Frenchfive-factor model	P1	0.029** (2.38)	1.19* (11.22)	0.101 (0.19)	−0.44* (0.00)	−0.18 (0.09)	0.59* (0.00)	0.21 (0.23)
	P2	0.016** (2.44)	1.02* (11.78)	0.22* (3.78)	−0.12 (−1.14)	−0.22** (−2.21)	0.42* (3.92)	0.26* (9.28)
	P3	0.019 (0.51)	1.14* (7.82)	0.49* (4.29)	0.018 (0.16)	0.17 (1.66)	0.30** (2.46)	0.24* (5.35)
	P4	0.014 (1.57)	0.93* (5.78)	0.24* (3.64)	0.52* (3.52)	0.302 (0.27)	0.11 (0.73)	0.39* (8.96)

Note:

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

Source: Researchers’ computation

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