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

Consumer Discretionary

Financials

Industrials

Information Technology

Materials

Consumer Staples

Energy

Health Care

Telecom. Services

Utilities

Model 9: BS6

MKT

1.0429***

1.2967***

1.1012***

1.1787***

1.0964***

0.6909***

0.8435***

0.7904***

0.7936***

0.4805***

SMB

0.0347

−0.1721***

−0.0166

−0.1290

0.0350

−0.1880***

−0.0703

−0.3085***

−0.5334***

−0.2772***

IA

−0.0010

0.0009

0.0013*

−0.0007

0.0024

0.0015

−0.0008

0.0011

−0.0003

−0.0003

ROE

0.0017**

0.0039***

0.0030***

−0.0045***

0.0027**

0.0054***

0.0009

0.0035***

−0.0026*

−0.0003

HML Devil

0.1731***

0.6274***

0.2410***

−0.7032***

0.3381***

0.0733

0.5508***

−0.1133

0.0932

0.4448***

MOM

−0.0844*

0.0544

−0.0483

−0.3378***

−0.0290

−0.0418

0.2639***

−0.0904

0.1041

0.3301***

Model 10: SY4

MKT

1.0491***

1.2387***

1.1048***

1.2102***

1.1260***

0.7826***

0.7949***

0.8308***

0.8920***

0.5374***

SMBm

−0.0176

−0.1960**

−0.1001

−0.0914

−0.0230

−0.2713***

−0.1312

−0.3930***

−0.5913***

−0.2307***

MGMT

0.1270***

0.6342***

0.2809***

−0.6174***

0.3192***

0.3819***

0.1013

0.1816**

0.0727

0.2531**

PERF

−0.0862**

−0.3638***

−0.0430

0.0624

−0.0320

0.2275***

0.0279

0.1524*

0.0948

0.0921