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 |