... 0-short 4-6 , long 0-1 -short 4-6 , long 0-1 -short 3-6 , and finally long 0-2 -short 3-6 ) when value-weighted portfolios are used (Figure 2) Basis Points Figure 2: Monthly Abnormal Returns: Baseline ... then long 0- short 4-6 , long 0-1 -short 4-6 , long 0-1 - short 3-6 , and finally long 0-2 , short 3-6 ) is illustrated in Figure Figure 1: Monthly Abnormal Returns: Baseline Model, Equally-weighted ... and 60 basis points during 199 0-2 003 using the baseline four-factor model; would have yielded 60 basis points during 199 0-1 999 and 66 basis points during 199 0-2 003 using the industry-adjusted model;...