Table 7 Cross-sectional regression with BM as the dependent variable and BETA as the independent variable year by year
From: BM(book-to-market ratio) factor: medium-term momentum and long-term reversal
Cons | BETA | Adj.R2 | |
|---|---|---|---|
2010 | 0.2554 | -0.1546 | 0.0655 |
2011 | 0.4229 | -0.2986 | 0.0055 |
2012 | 0.3500 | -0.2014 | 0.0204 |
2013 | 0.4476 | -0.1012 | 0.0253 |
2014 | 0.2759 | -0.0281 | 0.0062 |
2015 | 0.3939 | -0.2399 | 0.0772 |