(H-L). For the mean difference, we use Student's t-test for paired samples. To test the hypotheses that the median differences are equal to zero, a Wilcoxon rank-sum test is used. The p-values for these tests are reported in brackets. The mean IR in the group denoted as the low, moderate and high initial returns are-7.41%, 4.27% and 26.18%, respectively (not reported in table).