| |
Europe
|
USA
|
Global
|
|---|
|
Alpha
|
Adj. \(R^{2}\)
|
Alpha
|
Adj. \(R^{2}\)
|
Alpha
|
Adj. \(R^{2}\)
|
|---|
|
TR
|
|
Best
|
0.0020
|
0.8718
|
0.0017
|
0.7899
|
0.0022
|
0.8918
|
|
Worst
|
0.0057***
|
0.8716
|
0.0047**
|
0.8189
|
0.0077***
|
0.8502
|
|
Best–worst
|
− 0.0047***
|
0.3329
|
− 0.0040***
|
0.3344
|
− 0.0065***
|
0.1627
|
|
Controversies
|
|
Best
|
0.0064***
|
0.8575
|
0.0062***
|
0.7957
|
0.0079***
|
0.8777
|
|
Worst
|
0.0031*
|
0.8541
|
0.0014
|
0.8216
|
0.0027
|
0.8667
|
|
Best–worst
|
0.0023
|
0.3216
|
0.0038**
|
0.2049
|
0.0042***
|
0.2429
|
|
Combined
|
|
Best
|
0.0010
|
0.8761
|
0.0017
|
0.8177
|
0.0018
|
0.9021
|
|
Worst
|
0.0046**
|
0.8436
|
0.0040*
|
0.8163
|
0.0063***
|
0.8515
|
|
Best–worst
|
− 0.0045**
|
0.2231
|
− 0.0033***
|
0.1522
|
− 0.0056***
|
0.0992
|
- This table shows the results of the Fama and French (2015) five-factor regression for portfolios from 2002 to 2018 on a monthly basis. The regressions are calculated individually for each rank-weighted portfolio based on a 10% cutoff of each score, market and portfolio set. The best (worst) portfolios consist of the 10% best (worst) rated companies regarding a particular score. The best–worst portfolios are long in the best-performing companies and short in the worst-performing ones. Monthly alphas and adj. \(R^2\) are reported upon. In order to estimate standard errors, we use the Newey and West (1987) procedure
- ***, ** and * indicate a significance level of 1%, 5% and 10%