1. Table 10 presents the results. Using Model 1, we find that lowest PTH 1 quintile produces 12.7 bps per month, while the highest generates 52.3 bps, leading to a longshort return difference of 39.6 bps (t-statistic of 4.01). The long-short strategy produces alphas ranging from 39.7 bps to 44.6 bps, all of which are statistically significant at the 1% level. The annualized Sharpe ratio of the long-short strategy is 1;Xue;consisting of market (MKT), size (SMB), profitability (ROE), investment (IA), and investment growth (IG) factors (as motivated for PTH by,2015