Table 6 Existential verification results
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 | -0.1384 | -0.0843 | -0.2944 | 0.2095 | -0.0283 |
lp | 0.0631 | 0.0295 | -0.0298 | -0.3943 | 0.3943 | |
wl | -0.2015※ | -0.1138※ | -0.2646※ | 0.6038※ | -0.4226※ | |
t | -7.5469 | -9.5765 | -2.3137 | -6.5177 | -2.1533 | |
6 months | wp | -0.0103 | -0.0384 | 0.0483 | 0.2048 | 0.1948 |
lp | 0.0384 | 0.2940 | -0.9387 | 0.2984 | -0.0849 | |
wl | -0.0487※ | -0.3324※ | 0.9870※ | -0.0936 | 0.2798※ | |
t | -4.3401 | -2.4090 | -4.4905 | -1.0605 | -1.1958 | |
9 months | wp | -0.2934 | -0.0206 | 0.0853 | -0.4832 | 0.0519 |
lp | 0.0238 | -0.0394 | 0.3085 | -0.5293 | -0.2085 | |
wl | -0.3172※ | 0.0188※ | -0.2232※ | 0.0461※ | 0.2604※ | |
t | -4.7922 | -8.5792 | -5.5912 | -3.7257 | -7.9083 | |
12 months | wp | -0.7083 | -0.3582 | 0.3849 | 0.2048 | -0.3028 |
lp | 0.2925 | 0.2490 | -0.0294 | 0.2084 | -0.0247 | |
wl | -1.0008※ | -0.6072※ | 0.4143※ | -0.0036※ | -0.2781※ | |
t | -5.0284 | -9.3962 | -7.2975 | -7.3374 | -9.8217 | |
18 months | wp | -0.9240 | 0.0108 | 0.1052 | -0.4937 | 0.2806 |
lp | 0.0284 | -0.2420 | 0.1083 | -0.0284 | 0.2874 | |
wl | -0.9524※ | 0.25284※ | -0.0030※ | -0.4653※ | -0.0068※ | |
t | -8.06059 | -7.7146 | -0.0415 | -2.7705 | -9.0339 | |
24 months | wp | -0.0183 | -0.0083 | 0.0398 | -0.0408 | -0.2084 |
lp | 0.0482 | 0.0029 | 0.0184 | -0.1294 | 0.1083 | |
wl | -0.0665※ | -0.0112 | 0.0214※ | 0.0886※ | -0.3167※ | |
t | -5.1487 | -0.5971 | -2.6853 | -8.9878 | -9.2583 | |
30 months | wp | -0.2948 | -0.1294 | 0.2948 | 0.0698 | -0.2949 |
lp | 0.0290 | 0.1084 | 0.0108 | -0.0908 | 0.2844 | |
wl | -0.3238 | -0.2378 | 0.2840 | 0.1606※ | -0.5793※ | |
t | -0.9548 | -0.7403 | -0.0126 | -5.6271 | -8.7080 | |
36 months | wp | 0.2084 | -0.2850 | 0.0203 | -0.3985 | 0.5082 |
lp | 0.0129 | 0.0940 | 0.2984 | -0.2084 | 0.2952 | |
wl | 0.1955 | -0.379※ | -0.2781※ | -0.1901※ | 0.213※ | |
t | -1.8446 | -3.6409 | -2.0442 | -3.9977 | -6.2831 | |
48 months | wp | -0.0024 | 0.2044 | -0.2049 | 0.0385 | -0.0108 |
lp | 0.0597 | 0.1094 | -0.2943 | -0.0044 | 0.2044 | |
wl | -0.0621※ | 0.095※ | 0.0894※ | 0.04285※ | -0.2152※ | |
t | -8.873 | -7.2558 | -8.5790 | -5.5865 | -6.3009 | |
60 months | wp | -0.0070 | 0.1939 | 0.1033 | -0.0188 | 0.4298 |
lp | -0.2934 | 0.0139 | -0.0210 | -0.1944 | 0.0039 | |
wl | 0.2864※ | 0.1800※ | 0.1243※ | 0.1756※ | 0.4259※ | |
t | -2.8769 | -5.2485 | -8.0858 | -6.7919 | -8.9324 | |
Hold period q Forming period p | 24 months | 30 months | 36 months | 48 months | 60 months | |
3 months | wp | 0.0428 | 0.2490 | 0.1932 | 0.3942 | 0.1038 |
lp | -0.0208 | -0.0283 | -0.0286 | -0.0246 | -0.0612 | |
wl | 0.06364※ | 0.27734※ | 0.22180※ | 0.4188※ | 0.1650※ | |
t | -9.5661 | -6.4948 | -4.5017 | -4.3875 | -6.5235 | |
6 months | wp | -0.0242 | 0.1084 | -0.3942 | 0.0329 | 0.2494 |
lp | 0.6092 | 0.0903 | -0.3934 | -0.2820 | -0.3028 | |
wl | -0.6334※ | 0.01812※ | -0.0087※ | 0.31494※ | 0.5522※ | |
t | -4.7564 | -2.3861 | -5.7409 | -9.4873 | -9.6719 | |
9 months | wp | 0.2058 | 0.5038 | 0.4846 | 0.2045 | 0.5028 |
lp | 0.4080 | -0.0920 | 0.2058 | 0.0385 | -0.3040 | |
wl | -0.2022※ | 0.5958 | 0.2788※ | 0.1660 | 0.8068※ | |
t | -7.3042 | -1.2111 | -7.6711 | -1.7727 | -2.5962 | |
12 months | wp | 0.3856 | -0.4941 | 0.3494 | 0.3842 | -0.0794 |
lp | -0.5927 | 0.3859 | 0.4928 | -0.3842 | -0.5938 | |
wl | 0.9783※ | -0.88※ | -0.1434※ | 0.7684※ | 0.5144※ | |
t | -7.2787 | -8.0722 | -2.9770 | -7.2284 | -5.0118 | |
18 months | wp | 0.1958 | -0.1858 | -0.0184 | 0.1540 | -0.1885 |
lp | 0.0593 | 0.0284 | -0.1084 | -0.3749 | 0.0563 | |
wl | 0.13653※ | -0.2142※ | 0.09※ | 0.5289※ | -0.2448※ | |
t | -9.0714 | -9.6582 | -3.3249 | -8.1674 | -4.2962 | |
24 months | wp | -0.0183 | 0.1098 | 0.1282 | 0.2853 | 0.0828 |
lp | 0.2945 | -0.2084 | -0.0173 | 0.2943 | -0.2084 | |
wl | -0.3128※ | 0.3182※ | 0.1455※ | -0.0090 | 0.2912※ | |
t | -3.5671 | -5.7649 | -3.3872 | -1.3965 | -7.8998 | |
30 months | wp | 0.3930 | -0.0109 | -0.0014 | 0.0194 | 0.1854 |
lp | -0.1050 | 0.0335 | 0.1042 | -0.1988 | -0.4851 | |
wl | 0.498※ | -0.0444 | -0.1056※ | 0.2182※ | 0.6705※ | |
t | -1.2578 | -1.7227 | -3.6256 | -5.0381 | -6.5537 | |
36 months | wp | 0.0189 | -0.3940 | -0.2840 | -0.0018 | -0.1030 |
lp | -0.2848 | 0.0592 | -0.2020 | -0.0188 | -0.0128 | |
wl | 0.3037※ | -0.4532※ | -0.0820※ | 0.0170 | -0.0902※ | |
t | -5.7673 | -8.9516 | -4.3568 | -0.61444 | -8.8585 | |
48 months | wp | 0.3095 | -0.0240 | 0.4085 | 0.2953 | 0.0044 |
lp | -0.1084 | 0.3848 | -0.0220 | -0.0140 | 0.0199 | |
wl | 0.4179※ | -0.4088※ | 0.4305※ | 0.3093※ | -0.0155 | |
t | -1.7304 | -5.2197 | -2.3661 | -3.6702 | -1.1061 | |
60 months | wp | 0.1088 | -0.0053 | -0.2420 | -0.0110 | -0.0399 |
lp | 0.2842 | -0.0910 | 0.2985 | 0.0503 | 0.0018 | |
wl | -0.1753※ | 0.0857※ | -0.5405※ | -0.0613※ | -0.0417※ | |
t | -2.5214 | -2.6269 | -5.2042 | -9.6926 | -4.9969 | |