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 |