Time series Regressions: Two 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 9: BS6 |
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MKT | 1.0155*** | 1.2347*** | 1.1285*** | 1.2900*** | 1.0869*** | 0.7025*** | 0.7875*** | 0.6924*** | 0.6774*** | 0.3225*** |
SMB | −0.0866 | −0.1236 | −0.0498 | −0.3847* | 0.1243 | −0.1387* | −0.2996* | −0.3445*** | −0.4767*** | −0.1394 |
IA | −0.0002 | 0.0032 | 0.0004 | 0.0005 | 0.0054** | 0.0026** | −0.0004 | 0.0023 | 0.0024 | 0.0018 |
ROE | 0.0001 | 0.0052*** | 0.0033*** | −0.0066** | 0.0028 | 0.0080*** | −0.0018 | 0.0048*** | −0.0029 | −0.0003** |
HML Devil | 0.1514 | 0.5774*** | 0.3208*** | −0.7189*** | 0.2119 | 0.0887 | 0.4570*** | 0.0521 | 0.0175 | 0.4438*** |
MOM | −0.0733 | −0.0961 | −0.0155 | −0.3419* | −0.1019 | −0.1213 | 0.2332 | −0.097 | 0.0986 | 0.2118 |
Model 10: SY4 |
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MKT | 1.0301*** | 1.3170*** | 1.0774*** | 1.2418*** | 1.1385*** | 0.7271*** | 0.6796*** | 0.7817*** | 0.8571*** | 0.3173*** |
SMBm | 0.003 | −0.1635 | −0.0575 | −0.0611 | 0.0374 | −0.0998 | −0.264 | −0.3865*** | −0.6589*** | −0.0127 |
MGMT | 0.1603 | 0.7911*** | 0.3460*** | −0.5050*** | 0.3845* | 0.3928*** | 0.0467 | 0.178 | 0.1534 | 0.3582*** |
PERF | −0.1445 | −0.3095*** | 0.034 | 0.1566 | 0.0138 | 0.2872*** | −0.0301 | 0.1588* | 0.2271*** | −0.0653 |