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Table 1 Summary of model parameters

From: BM(book-to-market ratio) factor: medium-term momentum and long-term reversal

 

Regression coefficients

Implied parameters

cons

bm

roe

k

w

μ

Panel A: Regression results summary

 5th percentile

-0.0119

0.013

0.1106

0.93523

0.707112

0.02003

 25th percentile

0.02114

0.0322

0.179

0.950202

0.817889

0.031925

 Mean

0.032162

0.045638

0.339625

0.964003

0.878349

0.056226

 Median

0.02985

0.0461

0.265

0.962121

0.893978

0.041286

 75th percentile

0.03772

0.0584

0.461

0.976566

0.938257

0.05825

 95th percentile

0.05589

0.07149

0.61

0.995

0.98653

0.12964

 Standard deviation

0.013273

0.017437

0.198346

0.017613

0.084486

0.181218

Panel B: Industry Coefficient

 Electricity

0.03705

0.0453

0.114

0.964343

0.731332

0.041817

 Equity investment instrument

0.04606

0.0153

0.108

0.994646

0.89955

0.051637

 Financial service

0.04952

0.0423

0.46

0.967374

0.941658

0.091704

 Fixed line telecommunications

0.03535

0.0461

0.136

0.963535

0.763959

0.040914

 Food and drug retail

0.03188

0.057

0.97

0.952525

0.972041

1.062667

 food producers

0.05658

0.0288

0.51

0.98101

0.974212

0.115469

 Forestry & paper

0.03507

0.0402

0.384

0.969495

0.930503

0.056932

 Gas, water, & multiple utilities

0.06409

0.0225

0.59

0.987374

0.99193

0.156317

 General industrial

0.03798

0.0436

0.262

0.966061

0.879962

0.051463

 General retailers

-0.01148

0.0622

0.53

0.947273

0.91966

0.024426

 Health care equipment & services

0.02878

0.0475

0.188

0.962121

0.817889

0.035443

 Household goods & home construction

0.03397

0.0512

0.117

0.958384

0.710426

0.038471

 Industrial engineering

0.02985

0.0554

0.277

0.954141

0.854701

0.041286

 industrial metals & mining

0.03686

0.0332

0.259

0.976566

0.910593

0.049744

 Industrial transportation

0.02691

0.0499

0.26

0.959697

0.860642

0.036365

 Leisure goods

0.01774

0.0632

0.354

0.946263

0.870677

0.027461

 Life insurance

0.04108

0.0187

0.461

0.991212

0.989546

0.076215

 Media

0.01825

0.0584

0.233

0.951111

0.81924

0.023794

 Mining

0.02114

0.0594

0.62

0.950101

0.938257

0.055632

 Mobile telecommunications

0.01277

0.0709

0.6

0.938485

0.918977

0.031925

 No life insurance

0.03772

0.0322

0.265

0.977576

0.916162

0.05132

 Oil equipment & services

0.02799

0.0433

0.192

0.966364

0.836456

0.034641

 Oil & gas producers

0.03311

0.0266

0.541

0.983232

0.981192

0.072135

 Personal goods

0.0288

0.0545

0.179

0.955051

0.78464

0.035079

 Pharmaceuticals & biotechnology

-0.01425

0.072

0.38

0.937374

0.86246

0.022984

 Real estate investment & services

0.05535

0.0129

0.174

0.997071

0.957728

0.06701

 Real estate investment trusts

0.04822

0.0132

0.269

0.996768

0.981286

0.065964

 Software & computer services

0.02563

0.0593

0.56

0.950202

0.929461

0.05825

 Sport services

-0.01356

0.0769

0.222

0.932424

0.75965

0.017429

 Technology hardware & equipment

0.02293

0.0613

0.138

0.948182

0.707112

0.026601

 Tobacco

0.02047

0.0529

0.356

0.956667

0.893978

0.031786

 Travel & leisure

0.02875

0.0442

0.159

0.965455

0.80129

0.034185