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Table 4 Summary data for CAPM model parameters

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

  Regression coefficients
αi βi ɛi
Panel A: Model Coefficients Summary
 5th percentile 0.0453 0.8711 0.0377
 25th percentile 0.0876 0.9875 0.0638
 Mean 0.4204 1.2122 0.1329
 Median 0.4147 1.1988 0.0943
 75th percentile 0.6833 1.4300 0.1678
 95th percentile 0.8456 1.5617 0.3370
 Standard deviation 0.2954 0.2578 0.1137
Panel B: Industry parameters
 Electricity 0.8474 1.0670 0.0394
 Equity investment instrument 0.7250 1.4428 0.1804
 Financial service 0.0186 1.4257 0.2791
 Fixed line telecommunications 0.8296 0.9953 0.2163
 Food and drug retail 0.7390 0.9877 0.2578
 Food producers 0.4911 0.8347 0.0356
 Forestry & paper 0.6136 1.5032 0.0896
 Gas, water, & multiple utilities 0.5107 1.4082 0.0933
 General industrial 0.0622 1.5265 0.0476
 General retailers 0.6694 0.9696 0.0485
 Health care equipment & services 0.3203 1.3564 0.1079
 Household goods & home construction 0.1835 0.8694 0.0759
 Industrial engineering 0.0832 1.4800 0.0654
 Industrial metals & mining 0.3524 0.9059 0.0953
 Industrial transportation 0.0986 1.3895 0.2684
 Leisure good 0.0888 1.3269 0.1080
 Life insurance 0.8441 1.7830 0.1584
 Media 0.4231 1.2069 0.0705
 Mining 0.0614 1.0754 0.0959
 Mobile telecommunications 0.2658 1.4790 0.0896
 No life insurance 0.4000 0.8725 0.0479
 Oil equipment & services 0.0257 1.5329 0.0759
 Oil & gas producers 0.0671 1.0304 0.1860
 Personal goods 0.4062 1.1343 0.0695
 Pharmaceuticals & biotechnology 0.7483 0.9581 0.0499
 Real estate investment &services 0.0838 1.5968 0.5369
 Real estate investment trusts 0.0671 1.0343 0.1636
 Software & computer services 0.8521 1.3055 0.0968
 Sport services 0.7386 1.1907 0.0590
 Technology hardware & equipment 0.6631 0.9056 0.1074
 Tobacco 0.5633 0.9867 0.0284
 Travel & leisure 0.6084 1.2080 0.4078