. grstest2 R11-R55, flist( MKT SMB HML RMW CMA) alphas
R[2,7]
Mean alpha Test stati~c P-value Mean adj R2 Mean SE
J0 .0355465 106640.18 0 .75330779 .00076078
J1 .0355465 4265.4469 0 .75330779 .00076078
Mean abs a~a SR
J0 .04291157 0
J1 .04291157 11.621632
A[25,1]
c1
r1 .11263865
r1 .06354135
r1 .08288909
r1 .085691
r1 .06448978
r1 .05857723
r1 .05899444
r1 .0603965
r1 .0520212
r1 .06018774
r1 .02008125
r1 .03586127
r1 .03428411
r1 .04380281
r1 .04951713
r1 -.01530897
r1 .0107431
r1 .00206623
r1 .01605804
r1 .02972884
r1 -.03366993
r1 -.02839693
r1 .00881463
r1 -.01468758
r1 .03034156