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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
  1. Note: * is a significant result after the bilateral t-test with = “wp” corresponding to the winner portfolio. “lp” corresponds to the average return of the strategy portfolio. We conduct the t-test about the “wl” value