Time series Regressions: Five Different Models-Ten Different Industries Returns (Quintile 0.90)

Q = 0.90

Consumer Discretionary

Financials

Industrials

Information Technology

Materials

Consumer Staples

Energy

Health Care

Telecom. Services

Utilities

Model 1: CAPM

MKT

1.0885***

1.0270***

0.9831***

1.3455***

1.0905***

0.3733***

0.7819***

0.6386***

0.6137***

0.2078**

Model 2: FF3

MKT

1.0949***

1.2631***

1.0599***

1.3350***

1.0294***

0.5202***

0.8585***

0.7306***

0.7606***

0.2992***

SMB

−0.0641

0.8585***

−0.0783

−0.165

−0.0187

−0.3673***

−0.2263*

−0.4249***

−0.5154***

−0.1523

HML

0.139

0.7705***

0.3571***

−0.6817***

0.3259**

0.2887***

0.3525***

0.1114

−0.0349

0.3083**

Model 3: FFAF

MKT

1.0627***

1.1085***

1.0241***

1.3626***

0.9363***

0.4537***

0.8336***

0.7081***

0.7449***

0.3056***

SMB

−0.1318*

−0.2830**

−0.1570**

−0.0466

0.0604

−0.4006***

−0.1782

−0.4395***

−0.5095***

−0.2018**

HML Devil

0.2232***

0.6035***

0.2880***

−0.3357**

0.3522***

0.0626

0.5707***

0.0499

0.0222

0.2348***

Model 4: FFC

MKT

1.0309***

1.1489***

1.0439***

1.2957***

0.9955***

0.5474***

0.8673***

0.7334***

0.7565***

0.3128***

SMB

−0.0789

−0.2581***

−0.0707

−0.2519

0.0016

−0.3892***

−0.2460*

−0.3869***

−0.5591***

−0.1693

HML

0.1346

0.7626***

0.3345***

−0.8537***

0.2811*

0.2799***

0.3363***

0.1675

−0.0565

0.2836**

MOM

−0.1459**

−0.1531**

−0.0999

−0.2076**

−0.1025

0.0665

0.0113

0.1043

−0.0286

0.112

Model 5: FFPS

MKT

1.1071***

1.2477***

1.0673***

1.3430***

1.0918***

0.5309***

0.7585***

0.7158***

0.7627***

0.2917***

SMB

−0.0955

−0.1983*

−0.0778

−0.162

−0.0152

−0.3223***

−0.1421

−0.3771***

−0.5812***

−0.1487

HML

0.1867**

0.8038***

0.3570***

−0.6883***

0.4395***

0.2975***

0.4048***

0.1599

−0.103

0.3436***

LIQ

−0.0905

−0.1352*

−0.0337

−0.0027

0.2939***

0.0307

0.4712***

−0.1347

0.0357

0.0431