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Table 9 Supplementary variable estimation results

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

Panel A: Regression parameter summary
Data Regression coefficients Implied parameters
cons bm roe F k w μ
 5th percentile 0.01378 0.01967 0.1149 93.1769 0.9374 0.7144 0.0248
 25th percentile 0.0254 0.0417 0.1557 257.869 0.9515 0.8075 0.0346
 mean 0.0323 0.0478 0.4942 765.484 0.9618 0.8563 0.0474
 median 0.0317 0.0495 0.3615 503.141 0.9601 0.8704 0.0422
 75th percentile 0.0375 0.0581 0.3813 1040.069 0.9679 0.9255 0.0519
 95th percentile 0.0558 0.0719 0.6032 2276.989 0.9904 0.9492 0.0865
 standard deviation 0.01386 0.0174 1.1761 789.7891 0.0176 0.0849 0.0212
Panel B: Return of Regressions
  3M
(1)
12M
(2)
24M
(3)
36M
(4)
3M
(5)
12M
(6)
24M
(7)
36M
(8)
 E[r(i,t+1)] 0.689*** 0.636*** 0.556*** 0.521*** 0.6028*** 0.569*** 0.4902*** 0.3502***
(0.013) (0.0103) (0.0295) (0.0615) (0.013) (0.0098) (0.0208) (0.0421)
 Cons 0.0343 0.0368 0.0329*** 0.0319** 0.2492 0.22 0.21 0.195**
(0.063) (0.0132) (0.0202) (0.284) (0.0492) (0.0107) (0.0150) (0.254)
 Number of observations 1681 1232 1025 957 1681 1232 1025 957
 Fixed effects no no no no yes yes yes yes