Time series Regressions: Two 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 9: BS6

MKT

0.9962***

1.3523***

1.1187***

1.1277***

1.2335***

0.7031***

0.8661***

0.7860***

0.8005***

0.6137***

SMB

0.0392

−0.1755**

−0.0409

0.1558

−0.0001

−0.1583

0.0507

−0.3743***

−0.3782***

−0.1655

IA

−0.0009

−0.0019

0.0012

−0.0016

0.0032

0.0010

−0.0020

0.0015

−0.0013

−0.0012

ROE

0.0020**

0.0042***

0.0028***

−0.0034**

0.0048***

0.0051***

0.0028

0.0025

−0.0012

0.0021

HML Devil

0.0576

0.6564***

0.1916**

−0.8734***

0.2263

0.1790

0.6597***

−0.2573

0.2394

0.5515***

MOM

−0.1918***

0.1082

−0.0109

−0.3904***

−0.1141

0.0261

0.3149***

−0.1986

0.2181

0.3814***

Model 10: SY4

MKT

1.0819***

1.1959***

1.1585***

1.2155***

1.1447***

0.7123***

0.8475***

0.8353***

112.920

0.6908***

SMBm

−0.1148

−0.2461***

−0.1398

0.0378

−0.1581

−0.1779

−0.0429

−0.4741***

−1.9944***

−0.2942

MGMT

−0.0109

0.5068***

0.3299***

−0.6953***

0.2185

0.2785***

0.1764

0.0393

0.2046***

0.0980

PERF

−0.0588

−0.3841***

−0.0828

0.0419

−0.0362

0.2008***

−0.0491

0.1463

0.3159

0.1649