Time series Regressions: Five Different Models-Ten Different Industries (Returns)

Consumer Discretionary

Financials

Industrials

Information Technology

Materials

Consumer Staples

Energy

Health Care

Telecom. Services

Utilities

Model 1: CAPM

MKT

1.0527***

1.1686***

1.0354***

1.3058***

1.0292***

0.5292***

0.8804***

0.6587***

0.7693***

0.3737***

Model 2: FF3

MKT

1.0701***

1.2730***

1.0758***

1.2617***

1.0649***

0.6015***

0.9209***

0.7282***

0.8422***

0.4364***

SMB

−0.0418

−0.2584***

−0.0950*

−0.0364

−0.0372

−0.3447***

0.0035

−0.4031***

−0.4336***

−0.2504***

HML

0.1306***

0.7687***

0.3082***

−0.6547***

0.3786***

0.1571**

0.5341***

−0.0128

−0.0367

0.2460***

Model 3: FFAF

MKT

1.0425***

1.1632***

1.0292***

1.3461***

1.0035***

0.5862***

0.8360***

0.7350***

0.8373***

0.4039***

SMB

−0.0453

−0.2844***

−0.1015**

−0.0177

−0.0483

−0.3479***

−0.0155

−0.4036***

−0.4365***

−0.2568***

HML Devil

0.1766***

0.4914***

0.2338***

−0.3358***

0.3216***

0.0341

0.4268***

−0.0613

0.0680

0.1356**

Model 4: FFC

MKT

1.0294***

1.2400***

1.0522***

1.2112***

1.0323***

0.6266***

0.9222***

0.7455***

0.8331***

0.4778***

SMB

−0.0393

−0.2564***

−0.0936**

−0.0333

−0.0352

−0.3462***

0.0034

−0.4042***

−0.4330***

−0.2529***

HML

0.0838*

0.7307***

0.2811***

−0.7128***

0.3411***

0.1860**

0.5356***

0.0072

−0.0472

0.2937***

MOM

−0.1200***

−0.0975***

−0.0696***

−0.1491***

−0.0962

0.0741*

0.0038

0.0511

−0.0270

0.1223***

Model 5: FFPS

MKT

1.0722***

1.3102***

1.0848***

1.2739***

1.0704***

0.5976***

0.8042***

0.7321***

0.8151***

0.4326***

SMB

−0.0194

−0.2563***

−0.0976*

−0.0375

−0.0347

−0.3390***

−0.0826

−0.4094***

−0.4583***

−0.2474***

HML

0.1555***

0.7890***

0.3053***

−0.6674***

0.4279***

0.1541*

0.4222***

−0.0318

−0.0704

0.2404***

LIQ

−0.0305

−0.0900*

−0.0097

0.0252

0.2611***

−0.0158

0.3609***

−0.1128***

0.0213

0.1002