In each panel, the left subpanel reports the cross-sectional regressions without the MP loading as a regressor, and the right subpanel reports those with the MP loading. The last column in the right subpanel, denoted 6γr 6 /γr 6 , reports the percentage reduction of the magnitude of the r 6 slope when the MP loading is added into the regression. The t -statistics in square brackets are obtained from estimating the two-stage regressions simultaneously via GMM.
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