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

Consumer Discretionary

Financials

Industrials

Information Technology

Materials

Consumer Staples

Energy

Health Care

Telecom. Services

Utilities

Model 6: FF5

MKT

1.0926***

1.2093***

1.1201***

1.1358***

1.1469***

0.7664***

0.9909***

0.8353***

0.9253***

0.5047***

SMB

0.0445

−0.2800***

−0.0222

−0.1538*

0.0600

−0.1600***

0.0772

−0.3020***

−0.4305***

−0.2512***

HML

0.1001

0.9405***

0.2110***

−0.3440***

0.1843**

−0.2380***

0.3648**

−0.2767***

−0.2705**

0.0526

RMW

0.2665***

−0.1020

0.2403***

−0.4205***

0.3346***

0.6413***

0.2583*

0.3612***

0.0594

0.0391

CMA

−0.0983

−0.3595***

0.0842

−0.4960***

0.2635**

0.5611***

0.2513

0.4186***

0.5410**

0.4541***

Model 7: FF4

MKT

1.1073***

1.3471***

1.1510***

1.0854***

1.1739***

0.7315***

1.0443***

0.7947***

0.8857***

0.5124***

SMB

0.0529

−0.2009***

−0.0044

−0.1828**

0.0755

−0.1800***

0.1079

−0.3253***

−0.4533***

−0.2467***

RMW

0.3045***

0.2558**

0.3205***

−0.5513***

0.4047***

0.5508***

0.3970***

0.2560***

−0.0435

0.0592

CMA

−0.0022

0.5435***

0.2868***

−0.8262***

0.4404***

0.3326***

0.6015***

0.1530

0.2813

0.5046***

Model 8: HXZ

MRP

1.0511***

1.2738***

1.1022***

1.2354***

1.0804***

0.6888***

0.7931***

0.8014***

0.8029***

0.4394***

ME

0.0001

0.0010

0.0003

−0.0030***

0.0016**

−0.0003

0.0021**

−0.0016

−0.0034***

0.0002

IA

−0.0002

0.0046***

0.0026***

−0.0056***

0.0044***

0.0018*

0.0030**

0.0002

0.0002

0.0029*

ROE

0.0002

0.0027**

0.0018**

−0.0042***

0.0012

0.0055***

0.0013

0.0043***

−0.0004

0.0016