Lazy Network: A Word Embedding-Based Temporal Financial Network to Avoid Economic Shocks in Asset Pricing Models

Table 3

Monthly portfolio returns: monthly portfolio abnormal returns, 3-factor alphas, and 5-factor alphas (market, size, value, momentum, and liquidity) of four long-only portfolios that select the 50 most peripheral companies in terms of strength, eigenvector, closeness, and betweenness centrality in the Lazy Network.

Portfolio	Equally weighted			Value-weighted
	CAPM alpha	3-factor alpha	5-factor alpha	CAPM alpha	3-factor alpha	5-factor alpha
Strength t-stat	1.05 (4.21)	0.89 (3.94)	0.94 (4.38)	0.84 (3.51)	0.76 (3.23)	0.87 (3.75)
Eigenvector t-stat	1.07 (4.57)	0.92 (4.35)	0.96 (4.69)	0.64 (2.62)	0.56 (2.30)	0.62 (2.52)
Closeness t-stat	0.84 (4.32)	0.70 (4.03)	0.72 (3.80)	0.94 (3.97)	0.90 (4.14)	0.92 (4.22)
Betweenness t-stat	0.71 (4.08)	0.52 (4.13)	0.51 (4.07)	0.19 (1.08)	0.14 (0.83)	0.13 (0.78)

The t-statistics are in parentheses and displayed under the estimates. , , The significance at the 1%, 5%, and 10% levels, respectively.