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Table 10 Year data of least squares estimation results

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

Panel A: parameter estimation summary
 Data Regression coefficient   implicit parameter
cons bm roe F k w μ
 5th percentile 0.013858 0.019755 0.12185 108.91885 0.943712 0.722926 0.01988
 25th percentile 0.024605 0.039525 0.16875 180.5975 0.948106 0.837972 0.033205
 mean 0.034328 0.048013 0.292219 1391.13566 0.961604 0.859725 0.053624
 median 0.032565 0.05195 0.2425 271.368 0.957626 0.867538 0.04623
 75th percentile 0.041725 0.061375 0.372 2300.75 0.970177 0.924935 0.058376
 95th percentile 0.06029 0.065725 0.608 5129.3 0.990146 0.952434 0.125165
 standard deviation 0.01578 0.0166 0.17457 1948.64092 0.016768 0.080108 0.036647
Panel B:Return regressions
  12M
(2)
24M
(3)
36M
(4)
12M
(6)
24M
(7)
36M
(8)
 E[r(i,t+1)] 0.504*** 0.462*** 0.34*** 0.482*** 0.405*** 0.315***
(0.0694) (0.026) (0.03) (0.0272) (0.0197) (0.116)
 Cons -0.033 0.027*** 0.185** 0.205 0.273** 0.302**
(0.024) (0.055) (0.077) (0.0429) (0.056) (0.0207)
 Number of observations 1254 1162 936 1254 1162 936
 Fixed effects no no no yes yes yes
 Adj.R2 0.002 0.005 0.022 0.0102 0.009 0.0402