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 |