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 |