Table 2 Summary of expected returns
From: BM(book-to-market ratio) factor: medium-term momentum and long-term reversal
1Q ahead | 4Q ahead | 8Q ahead | 12Q ahead | Long term | LT-1Q difference | 12Q-1Q difference | |
|---|---|---|---|---|---|---|---|
Panel A: Expected log returns | |||||||
5th | -0.4794 | -0.5047 | -0.83602 | 0.79245 | 0.3987 | -0.80482 | -0.5963 |
25th | -0.2079 | -0.3625 | 1.0216 | 0.9635 | 0.7758 | -0.02842 | -0.0692 |
Mean | 0.7808 | 0.56554 | 1.4438 | 1.3871 | 1.3511 | 1.58205 | 0.721 |
Median | 0.82983 | 0.5757 | 1.6883 | 0.78332 | 1.0587 | 1.4608 | 0.503 |
75th | 0.89856 | 0.8399 | 1.7164 | 1.89945 | 2.0655 | 1.249 | 0.9803 |
95th | 0.9563 | 1.56075 | 1.952 | 2.90988 | 2.7431 | 2.0729 | 1.5028 |
Standard deviation | 0.633536 | 0.6896 | 1.0295 | 0.83071 | 0.868 | 0.7052 | 0.74976 |
Panel B: Realized log returns | |||||||
5th | -0.41356 | -0.1694 | -0.17981 | -0.97937 | 0.3842 | ||
25th | -0.17805 | -0.0497 | -1.044 | 0.20461 | 1.0284 | ||
Mean | 0.74912 | 1.3646 | 1.1662 | 1.6952 | 1.2974 | ||
Median | 1.07651 | 0.9445 | 1.4047 | 2.00348 | 1.3002 | ||
75th | 1.5181 | 1.87121 | 2.3969 | 3.2014 | 1.5355 | ||
95th | 1.8595 | 2.1495 | 3.86763 | 3.5383 | 2.4085 | ||
Standard deviation | 0.910017 | 0.967892 | 1.675042 | 1.7374 | 0.662228 | ||