Time series Regressions: Three Different Models-Ten Different Industries Returns (Quintile 0.10) | ||||||||||
Q = 0.10 | Consumer Discretionary | Financials | Industrials | Information Technology | Materials | Consumer Staples | Energy | Health Care | Telecom. Services | Utilities |
Model 6: FF5 | ||||||||||
MKT | 1.0949*** | 1.1195*** | 1.0819*** | 1.1446*** | 1.1384*** | 0.7731*** | 0.9627*** | 0.7442*** | 1.0483*** | 0.6505*** |
SMB | 0.1326 | −0.2553*** | −0.1510* | −0.0451 | 0.0926 | −0.0981 | 0.1136 | −0.3357*** | −0.3012** | −0.2371 |
HML | 0.1451* | 1.0144*** | 0.2773*** | −0.5771*** | 0.3080*** | −0.1346 | 0.2576 | −0.2786 | −0.2922 | −0.0544 |
RMW | 0.3767*** | −0.1214 | 0.0322 | −0.4876*** | 0.4082*** | 0.5041*** | 0.3864** | 0.2638 | 0.1174 | 0.0568 |
CMA | −0.0506 | −0.5243*** | −0.0201 | −0.5327*** | −0.0365 | 0.5407*** | 0.3185 | 0.3500 | 0.5953** | 0.4811 |
Model 7: FF4 |
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MKT | 1.1419*** | 1.3902*** | 1.1448*** | 1.1213*** | 1.1313*** | 0.7428*** | 0.9403*** | 0.7728*** | 0.8756*** | 0.6077*** |
SMB | 0.1306 | −0.1712 | 0.0145 | −0.0526 | 0.1786* | −0.1273 | 0.1446 | −0.3153*** | −0.2656** | −0.2541 |
RMW | 0.4454*** | 0.3686** | 0.3240*** | −0.4999*** | 0.6226*** | 0.5144*** | 0.4464** | 0.1852 | 0.0402 | −0.0205 |
CMA | 0.0986 | 0.5401*** | 0.1770* | −0.9899*** | 0.1664 | 0.3682*** | 0.5500*** | 0.0336 | 0.0636 | 0.3986** |
Model 8: HXZ | ||||||||||
MRP | 1.0503*** | 1.3737*** | 1.1089*** | 1.2786*** | 1.1136*** | 0.6283*** | 0.8523*** | 0.7894*** | 0.8363*** | 0.6759*** |
ME | 0.0006 | 0.0031*** | 0.0007 | −0.0014 | 0.0013 | 0.0009 | 0.0029** | −0.0014 | −0.0019 | 0.0009 |
IA | −0.0017 | 0.0059*** | 0.0016 | −0.0089*** | 0.0013 | 0.0009 | 0.0019 | −0.0004 | −0.0006 | 0.0012 |
ROE | 0.0003 | 0.0049*** | 0.0022** | −0.0032** | 0.0028** | 0.0045*** | 0.0018 | 0.0040** | 0.0006 | 0.0043* |