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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