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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