Time series Regressions: Three 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 6: FF5

MKT

1.1403***

1.2520***

1.1624***

1.1379***

1.1444***

0.7742***

0.8815***

0.8548***

0.7692***

0.3961***

SMB

0.0207

−0.2936**

0.0043

−0.3078

0.0431

−0.1817***

−0.2539

−0.3880***

−0.5036***

−0.1045

HML

0.0988

0.8043***

0.1888***

−0.2935

0.0831

−0.3851***

0.2445

−0.1958

−0.3447**

0.1276

RMW

0.2120**

−0.0042

0.3395***

−0.4639*

0.1494

0.7652***

0.1025

0.4277***

0.0095

−0.1022

CMA

−0.0291

−0.0582

0.125

−0.4694

0.5139**

0.6706***

0.0909

0.4716**

0.5555*

0.6325***

Model 7: FF4

MKT

1.1603***

1.3420***

1.1351***

1.0390***

1.1742***

0.7378***

0.9851***

0.7991***

0.7725***

0.4004***

SMB

0.0242

−0.176

0.0086

−0.2548

−0.014

−0.2107**

−0.2115

−0.4288***

−0.4934***

−0.1004

RMW

0.2546***

0.3516***

0.3297***

−0.5514***

0.1706

0.5766***

0.3363*

0.3834***

−0.044

−0.0699

CMA

0.0636

0.6934***

0.3029***

−0.8444***

0.5633***

0.3660***

0.3766*

0.2143

0.0725

0.7808***

Model 8: HXZ

MRP

1.0094***

1.3133***

1.1075***

1.3359***

1.1220***

0.7065***

0.7337***

0.7237***

0.5980***

0.3090***

ME

−0.0009

−0.0014

−0.0004

−0.0058***

0.0007

−0.0006

−0.001

−0.0030***

−0.0029***

0.0004

IA

0.0013

0.0067***

0.0029*

−0.0038

0.0067***

0.0045***

0.0021

0.0018

0.0046**

0.0047***

ROE

−0.0014

0.0019

0.0025*

−0.0066***

0.0004

0.0059***

−0.0007

0.0051***

−0.0023

−0.0002