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 |
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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 |
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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 |
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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 |