Table 6 Performance of Long and Short Portfolios within each analyst group ((a) Panel 1. Long Portfolio, (b) Panel 2. Short Portfolio, and (c) Panel 3. Long-Short Portfolio).

CAPM alpha

0.0146^*** (6.56)

0.0151^*** (24.52)

0.0177^*** (7.65)

−0.0005 (−0.22)

0.0030 (0.95)

0.0025 (1.06)

FF 3-factor alpha

0.0145^*** (6.51)

0.0151^*** (24.49)

0.0175^*** (7.57)

−0.0006 (−0.24)

0.0030 (0.94)

0.0024 (1.03)

Carhart 4-factor alpha

0.0145^*** (6.47)

0.0151^*** (24.50)

0.0174^*** (7.52)

−0.0006 (−0.27)

0.0029 (0.92)

0.0023 (0.98)

CAPM alpha

−0.0086^*** (−4.82)

0.0178^*** (15.40)

−0.0093^** (−2.72)

−0.0265^*** (−12.48)

−0.0007 (−0.19)

−0.0272^*** (−7.57)

FF 3-factor alpha

−0.0086^*** (−4.81)

0.0178^*** (15.41)

−0.0091^** (−2.67)

−0.0264^*** (−12.46)

−0.0005 (−0.13)

−0.0270^*** (−7.53)

Carhart 4-factor alpha

−0.0085^*** (−4.74)

0.0178^*** (15.40)

−0.0092^** (−2.69)

−0.0263^*** (−12.43)

−0.0007 (−0.19)

−0.0270^*** (−7.59)

CAPM alpha

0.0232^*** (8.15)

−0.00270^* (−2.06)

0.0270^*** (6.57)

–

–

–

FF 3-factor alpha

0.0231^*** (8.12)

−0.00274^* (−2.10)

0.0267^*** (6.51)

–

–

–

Carhart 4-factor alpha

0.0229^*** (8.07)

−0.00273^* (−2.09)

0.0266^*** (6.53)

–

–

–