I am reading Novy-Marx's paper titled "The other side of value: The gross profitability premium".

Throughout the paper, he mentions excess returns in several tables, but I cannot find any mention of what this is in "excess" too. Just by eyeballing the numbers, it seems like it's in excess to a T-bill or similar but I can't exactly be sure. I've searched throughout the paper and can't find an answer.

Here is an example.

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    $\begingroup$ As you say, it seems safe to assume that Novy-Marx uses the one-month Treasury bill rate to correct for funding costs. That's the usual risk-free rate you find on Ken French's website. $\endgroup$ – Kevin Mar 30 at 23:41
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    $\begingroup$ Anything Novy-Marx does not describe, you can assume it is done "as in Fama French". $\endgroup$ – noob2 Mar 31 at 1:23

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