Statistically Significant Four Factor Alpha for Monthly Returns Regression

There is no answer to this query but:

Statistically Significant Four Factor Alpha for Monthly Returns Regression but non stat sig alpha for Daily Returns. Which one should I trust?

https://quant.stackexchange.com/questions/71231/statistically-significant-four-factor-alpha-for-monthly-returns-regression-but-n

To me, this

 I am considering a p-value of less than 1% as statistically significant. 

I would go with this. Or am I wrong?


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