Skip to main content

Table 8 A comparison of the results of year-round mixed regression with account-to-market ratio

From: BM(book-to-market ratio) factor: medium-term momentum and long-term reversal

Panel A: No dummy variables
 Independent variable 2010 2011 2012 2013 2014 2015
 Cons 0.8302 1.2207 1.2830 0.7492 0.9298 1.0593
 BETA -0.0824 -0.0240 -0.3023 -0.0427 -0.6222 -0.3812
 ROE 1.1221 1.8324 0.8066 1.4899 1.0270 1.9774
Panel B: There are dummy variables
 Independent variable 2010 2011 2012 2013 2014 2015
 Intercept 0.7045 0.9152 0.6048 0.5362 0.5065 1.0709
 BETA -0.0783 -0.0656 -0.1084 -0.0936 -0.0676 -0.0905
 ROE 1.3985 1.7643 1.3274 1.5536 1.5359 1.7982