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 |
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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 |