A study was undertaken to assess the effect of sheer size of a portfolio (leaving out all other effects, such as degree of diversification) on abnormal performance, that is, performance of a stock portfolio that is above what one can expect based on the stock market as a whole.
In a four-factor design based on portfolio size for welldiversified portfolios, with 240 data points, the F statistic was significant at the 1% level of significance. Explain.