Table 5 One hundred groups of wp, lp, wl, t value summary table
From: BM(book-to-market ratio) factor: medium-term momentum and long-term reversal
Hold period q Forming period p | 3 months | 6 months | 9 months | 12 months | 18 months | |
3 months | wp | 0.0385 | 0.0392 | 0.0370 | 0.0356 | 0.0665 |
lp | -0.0255 | -0.0232 | -0.0221 | -0.0215 | -0.0446 | |
wl | 0.063969※ | 0.0623610※ | 0.059098※ | 0.057092※ | 0.111089※ | |
t | 6.9500 | 6.1090 | 5.7480 | 5.5560 | 5.4110 | |
6 months | wp | 0.0486 | 0.0407 | 0.0352 | 0.3688 | -0.2683 |
lp | -0.0285 | -0.0182 | -0.0222 | 0.7132 | -0.7778 | |
wl | 0.0770677※ | 0.058856※ | 0.057340※ | -0.344455※ | 0.509538※ | |
t | 4.3075 | 2.6328 | 3.1859 | 4.8540 | 4.1248 | |
9 months | wp | 0.0238 | 0.0319 | 0.0247 | 0.0381 | 0.0580 |
lp | -0.0169 | -0.0155 | -0.0185 | -0.0262 | -0.0562 | |
wl | 0.0406283※ | 0.0474118※ | 0.0431439※ | 0.0642729※ | 0.1142328※ | |
t | 5.1079 | 3.1171 | -4.0875 | 5.8650 | 7.1266 | |
12 months | wp | 0.0387 | 0.0507 | 0.0332 | 0.0313 | 0.0625 |
lp | -0.0105 | -0.0129 | -0.0164 | -0.0146 | -0.0479 | |
wl | 0.04915※ | 0.063644※ | 0.049570※ | 0.045913※ | 0.1104 | |
t | 4.6594 | 0.9907 | 2.8650 | 6.8660 | 1.1066 | |
18 months | wp | 0.0390 | 0.0563 | 0.1897 | -0.1742 | 0.0485 |
lp | -0.0103 | -0.0106 | -0.0258 | -0.0255 | -0.0418 | |
wl | 0.049247※ | 0.066929※ | 0.202296※ | -0.151084※ | 0.0903 | |
t | 12.1355 | 3.8790 | 2.7135 | -4.8593 | 1.1042 | |
24 months | wp | 0.0498 | 0.0521 | 0.0542 | 0.0354 | 0.0289 |
lp | -0.0134 | -0.1464 | 0.0097 | 0.0005 | -0.0462 | |
wl | 0.063209※ | 0.1984872※ | 0.0444647※ | 0.0348749※ | 0.0751517※ | |
t | 3.3684 | 3.4058 | 2.2480 | 2.8288 | 6.1173 | |
30 months | wp | 0.0408 | 0.0319 | 0.0126 | 0.0097 | 0.0119 |
lp | -0.0491 | -0.0314 | -0.0302 | -0.0183 | -0.0187 | |
wl | 0.089843※ | 0.0633350※ | 0.0428105※ | 0.0280763※ | 0.0306 | |
t | 3.8345 | 2.8411 | 1.9135 | 3.8645 | 1.1342 | |
36 months | wp | 0.0909 | 0.0098 | -0.0043 | -0.0116 | -0.0280 |
lp | 0.0503 | 0.0410 | 0.0216 | 0.0148 | 0.0321 | |
wl | 0.0405775※ | -0.031161※ | -0.025845※ | -0.026374※ | -0.0601 | |
t | 2.7015 | 2.3710 | 4.7250 | 6.2186 | -1.1700 | |
48 months | wp | 0.1087 | 0.0964 | 0.0495 | 0.0211 | 0.0569 |
lp | -0.0208 | -0.0172 | -0.0118 | -0.0074 | -0.0299 | |
wl | 0.12959※ | 0.1136495※ | 0.0613 | 0.0284981※ | 0.0868 | |
t | 2.3094 | 2.0923 | 1.6293 | 2.2380 | -1.1901 | |
60 months | wp | 0.0103 | 0.0139 | 0.0153 | 0.0162 | 0.0171 |
lp | -0.0204 | -0.0167 | -0.0101 | -0.0090 | -0.0032 | |
wl | 0.0307244※ | 0.0306 | 0.0254 | 0.0252 | 0.0204 | |
t | -3.5518 | -1.8998 | -1.6082 | 1.2573 | -0.0508 | |
Hold period q Forming period p | 24 months | 30 months | 36 months | 48 months | 60 months | |
3 months | wp | 0.0591 | 0.0497 | -0.0286 | -0.0246 | -0.0612 |
lp | -0.0453 | -0.0441 | -0.0579 | 0.0221 | 0.1364 | |
wl | 0.10444※ | 0.093842※ | 0.0292616※ | -0.04673042※ | -0.1975691※ | |
t | 5.5660 | 5.7970 | 4.0500 | -6.3380 | -6.9130 | |
6 months | wp | 0.0690 | 0.0364 | -0.0425 | 0.0217 | 0.0292 |
lp | -0.0335 | -0.0551 | -0.0407 | -0.1476 | 0.1022 | |
wl | 0.102505※ | 0.091487※ | -0.001725※ | 0.1693044※ | -0.0730656※ | |
t | 4.1339 | 8.3676 | -3.3159 | 6.4333 | 2.4222 | |
9 months | wp | 0.0597 | 0.0467 | -0.0421 | 0.0054 | -0.0460 |
lp | -0.0442 | -0.0427 | 0.0397 | 0.1088 | -0.0912 | |
wl | 0.103965※ | 0.089413※ | -0.0818328※ | -0.1034639※ | 0.0452 | |
t | 6.1218 | 10.2500 | -3.3015 | -2.3915 | -1.9165 | |
12 months | wp | 0.0503 | 0.0450 | -0.0387 | -0.0693 | -0.0594 |
lp | -0.0404 | 0.0478 | 0.0383 | 0.0731 | -0.0612 | |
wl | 0.090685※ | -0.0028797※ | -0.076932※ | -0.1423882※ | 0.0018128※ | |
t | 5.1261 | -6.2303 | -3.9858 | -4.9017 | 2.1925 | |
18 months | wp | 0.0487 | 0.0393 | 0.0322 | -0.0609 | 0.0515 |
lp | -0.0437 | -0.0439 | -0.0396 | -0.0672 | 0.0517 | |
wl | 0.092433※ | 0.0832855※ | 0.0719 | 0.0063171※ | -0.00022※ | |
t | 2.3860 | 4.2167 | 1.2674 | 3.3433 | -2.0865 | |
24 months | wp | 0.0477 | 0.0446 | 0.0385 | -0.0723 | -0.0552 |
lp | -0.0200 | -0.0398 | -0.0326 | 0.0418 | 0.0564 | |
wl | 0.0676301※ | 0.0844540※ | 0.071153※ | -0.1141 | -0.1116 | |
t | 3.0767 | 10.1525 | 7.2020 | -1.2751 | -1.9976 | |
30 months | wp | 0.0291 | 0.0330 | 0.0318 | 0.0527 | -0.0463 |
lp | -0.0245 | -0.0399 | -0.0343 | 0.0604 | -0.0495 | |
wl | 0.0536 | 0.0729 | 0.0661 | -0.0077 | 0.0032618※ | |
t | 1.0736 | 1.0897 | 1.1173 | 0.8520 | 5.9153 | |
36 months | wp | -0.0217 | -0.0325 | -0.0293 | -0.0590 | 0.0477 |
lp | 0.0241 | 0.0175 | 0.0158 | 0.0647 | 0.0484 | |
wl | -0.0457920※ | -0.0500914※ | -0.045144※ | -0.1237 | -0.000688※ | |
t | -5.0737 | -8.0590 | -5.0440 | -1.1230 | -4.5070 | |
48 months | wp | 0.0445 | 0.0504 | 0.0401 | 0.2460 | 0.1566 |
lp | -0.0295 | -0.0460 | -0.0378 | -0.0732 | -0.0604 | |
wl | 0.0740122※ | 0.0965 | 0.0778 | 0.3192 | 0.2169 | |
t | -3.0458 | 1.0312 | 0.9965 | 1.0826 | -0.6063 | |
60 months | wp | 0.0255 | 0.0267 | 0.0211 | 0.0041 | 0.0044 |
lp | -0.0027 | -0.0024 | 0.0264 | 0.0600 | 0.0465 | |
wl | 0.0282 | 0.0291 | -0.0053 | -0.0558800※ | -0.0421593※ | |
t | 1.0402 | 1.0100 | -0.9474 | -4.0311 | -3.6525 | |