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

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

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