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 |