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

Financial Innovation

Table 10 Year data of least squares estimation results

Panel A: parameter estimation summary
Data	Regression coefficient				implicit parameter
Data	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^***
E[r_(i,t+1)]	(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^**
Cons	(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