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

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*