Table 2 Regression coefficients of regression models of portfolio performances
From: Discovering optimal weights in weighted-scoring stock-picking models: a mixture design approach
Term of the regression model | Monthly excess rate of return (α) of the portfolio | Monthly systematic risk (β) of the portfolio | The mean of the median of the market value of the stocks in the portfolio | ||||||
|---|---|---|---|---|---|---|---|---|---|
Coef | t-stat | Significance | Coef | t-stat | Significance | Coef | t-stat | Significance | |
PBR | 1.088 | * | * | 0.900 | * | * | 3.348 | * | * |
ROE | 1.077 | * | * | 0.874 | * | * | 3.980 | * | * |
R | 0.479 | * | * | 1.121 | * | * | 3.908 | * | * |
beta | 0.706 | * | * | 0.777 | * | * | 3.509 | * | * |
MV | 0.324 | * | * | 0.588 | * | * | 6.616 | * | * |
PBR * ROE | 0.782 | 4.100 | 0.001 | – | – | – | – | – | – |
PBR * R | 1.318 | 6.890 | 0.000 | – | – | – | – | – | – |
PBR * beta | 1.387 | 8.270 | 0.000 | – | – | – | − 3.494 | − 4.170 | 0.000 |
PBR * MV | − 0.552 | − 2.920 | 0.012 | – | – | – | – | – | – |
ROE * R | 1.021 | 5.400 | 0.000 | – | – | – | – | – | – |
ROE * beta | 1.787 | 10.660 | 0.000 | – | – | – | – | – | – |
ROE * MV | – | – | – | – | – | – | 3.370 | 4.220 | 0.000 |
R * beta | 1.486 | 8.340 | 0.000 | – | – | – | – | – | – |
R * MV | – | – | – | – | – | – | 2.613 | 3.110 | 0.005 |
beta * MV | 0.922 | 5.170 | 0.000 | – | – | – | – | – | – |
PBR * ROE * R | 5.994 | 4.660 | 0.000 | – | – | – | – | – | – |
PBR * ROE * beta | – | – | – | – | – | – | – | – | – |
PBR * ROE * MV | 3.615 | 3.010 | 0.010 | – | – | – | – | – | – |
PBR * R * beta | – | – | – | − 8.020 | − 2.870 | 0.009 | – | – | – |
PBR * beta * MV | – | – | – | – | – | – | 14.811 | 2.740 | 0.012 |
PBR * R * MV | − 2.922 | − 2.420 | 0.031 | – | – | – | – | – | – |
ROE * R * beta | – | – | – | − 4.223 | − 1.510 | 0.146 | |||
ROE * R * MV | − 1.912 | − 1.670 | 0.118 | – | – | – | – | – | – |
ROE * beta * MV | – | – | – | − 8.288 | − 2.960 | 0.007 | – | – | – |
R * beta * MV | − 4.136 | − 3.430 | 0.004 | – | – | – | − 9.468 | − 1.750 | 0.095 |