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Table 3 Revenue return

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

Panel A: Regression parameter summary
Data Regression coefficients   Implied parameters
cons bm roe F   k w μ
5th percentile 0.014 0.045 0.259 70.62   0.904 0.620 0.014
25th percentile 0.018 0.048 0.325 145.24 0.952 0.647 0.017
Mean 0.022 0.050 0.430 359.70 0.910 0.657 0.023
Median 0.025 0.058 0.539 879.02 0.948 0.800 0.041
75th percentile 0.029 0.065 0.872 1426.60 0.963 0.889 0.059
95th percentile 0.035 0.094 0.890 1552.22 0.976 0.913 0.064
standard deviation 0.027 0.054 0.205 819.93 0.015 0.090 0.036
  3M
(1)
12M
(2)
24M
(3)
36M
(4)
3M
(5)
12M
(6)
24M
(7)
36M
(8)
E[r(i,t+1)] 0.717*** 0.643*** 0.5828*** 0.438*** 0.65284*** 0.5972*** 0.50284*** 0.4028***
  (0.073) (0.0615) (0.0295) (0.0103) (0.0624) (0.040) (0.0105) (0.004)
Cons -0.0343 0.0368 0.0329*** 0.0319** 0.0286 0.3058 0.2528** 0.2485**
  (0.063) (0.0132) (0.0202) (0.2840) (0.0468) (0.008) (0.0120) (0.025)
Number of observations 2851 2212 2105 1776 2851 2212 2105 1776
Fixed effects no no no no yes yes yes yes
Adj.R2 0.032 0.031 0.025 0.030 0.0193 0.0284 0.5020 0.1598