I am analyzing if good governance portfolios outperform bad governance portfolios. After dividing firms with good governance into one pf and bad ones into another for European companies I tried to run the regression of excess monthly returns on the Fama an French factors (from the official library). I have 3 portfolios and I obtain for each a market beta smaller than 0.5 which tells me that my sample is much less volatile than the market, which makes no sense. Any suggestions ? Please