Skip to main content

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