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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