From: Industry- and liquidity-based momentum in Australian equities
Strategy | Panel A (3-quantiles) | Panel B (5-quantiles) | ||||||
---|---|---|---|---|---|---|---|---|
Winner | Loser | Winner-Loser | Â | Winner | Loser | Winner-Loser | Â | |
J3K3 | 0.0202 | 0.0136 | 0.0066 | *** | 0.0187 | 0.0115 | 0.0072 | *** |
5.96 | 3.68 | 3.77 | Â | 5.97 | 3.44 | 5.08 | Â | |
J3K6 | 0.0202 | 0.0156 | 0.0047 | *** | 0.0185 | 0.0136 | 0.0049 | *** |
7.87 | 5.38 | 3.92 | Â | 7.90 | 5.22 | 4.96 | Â | |
J3K9 | 0.0205 | 0.0166 | 0.0040 | *** | 0.0183 | 0.0145 | 0.0038 | *** |
9.60 | 6.83 | 4.38 | Â | 9.65 | 6.61 | 5.04 | Â | |
J3K12 | 0.0193 | 0.0176 | 0.0017 | *** | 0.0175 | 0.0152 | 0.0024 | *** |
10.70 | 8.58 | 2.76 | Â | 10.93 | 8.32 | 4.40 | Â | |
J6K3 | 0.0195 | 0.0136 | 0.0059 | *** | 0.0183 | 0.0123 | 0.0060 | *** |
5.69 | 3.57 | 2.74 | Â | 5.86 | 3.60 | 3.43 | Â | |
J6K6 | 0.0195 | 0.0153 | 0.0043 | *** | 0.0182 | 0.0138 | 0.0044 | *** |
7.43 | 5.19 | 2.84 | Â | 7.72 | 5.21 | 3.45 | Â | |
J6K9 | 0.0186 | 0.0163 | 0.0023 | ** | 0.0174 | 0.0148 | 0.0026 | *** |
8.43 | 6.72 | 2.21 | Â | 9.00 | 6.81 | 2.97 | Â | |
J6K12 | 0.0172 | 0.0174 | −0.0001 |  | 0.0164 | 0.0157 | 0.0007 |  |
9.16 | 8.60 | −0.18 |  | 9.85 | 8.73 | 1.04 |  | |
J9K3 | 0.0197 | 0.0142 | 0.0055 | ** | 0.0185 | 0.0130 | 0.0055 | *** |
5.63 | 3.71 | 2.49 | Â | 5.87 | 3.74 | 2.90 | Â | |
J9K6 | 0.0183 | 0.0159 | 0.0024 | Â | 0.0172 | 0.0146 | 0.0026 | * |
6.94 | 5.42 | 1.54 | Â | 7.27 | 5.44 | 1.94 | Â | |
J9K9 | 0.0169 | 0.0172 | −0.0003 |  | 0.0162 | 0.0157 | 0.0005 |  |
7.80 | 7.21 | −0.27 |  | 8.31 | 7.21 | 0.54 |  | |
J9K12 | 0.0149 | 0.0187 | −0.0038 | *** | 0.0150 | 0.0169 | −0.0019 | ** |
8.01 | 9.52 | −4.34 |  | 8.92 | 9.43 | −2.57 |  | |
J12K3 | 0.0173 | 0.0155 | 0.0017 | Â | 0.0176 | 0.0136 | 0.0039 | ** |
4.93 | 4.08 | 0.78 | Â | 5.53 | 3.97 | 2.13 | Â | |
J12K6 | 0.0160 | 0.0168 | −0.0008 |  | 0.0161 | 0.0154 | 0.0007 |  |
6.02 | 5.82 | −0.54 |  | 6.69 | 5.80 | 0.58 |  | |
J12K9 | 0.0142 | 0.0184 | −0.0042 | *** | 0.0150 | 0.0167 | −0.0017 |  |
6.49 | 7.92 | −3.59 |  | 7.48 | 7.82 | −1.79 |  | |
J12K12 | 0.0129 | 0.0193 | −0.0064 | *** | 0.0139 | 0.0178 | − 0.0039 | ** |
6.88 | 9.92 | −6.82 |  | 8.20 | 10.05 | −5.08 |  |