Time series Regressions: Five Different Models-Ten Different Industries (Returns) | ||||||||||
| Consumer Discretionary | Financials | Industrials | Information Technology | Materials | Consumer Staples | Energy | Health Care | Telecom. Services | Utilities |
Model 1: CAPM | ||||||||||
MKT | 1.0527*** | 1.1686*** | 1.0354*** | 1.3058*** | 1.0292*** | 0.5292*** | 0.8804*** | 0.6587*** | 0.7693*** | 0.3737*** |
Model 2: FF3 | ||||||||||
MKT | 1.0701*** | 1.2730*** | 1.0758*** | 1.2617*** | 1.0649*** | 0.6015*** | 0.9209*** | 0.7282*** | 0.8422*** | 0.4364*** |
SMB | −0.0418 | −0.2584*** | −0.0950* | −0.0364 | −0.0372 | −0.3447*** | 0.0035 | −0.4031*** | −0.4336*** | −0.2504*** |
HML | 0.1306*** | 0.7687*** | 0.3082*** | −0.6547*** | 0.3786*** | 0.1571** | 0.5341*** | −0.0128 | −0.0367 | 0.2460*** |
Model 3: FFAF | ||||||||||
MKT | 1.0425*** | 1.1632*** | 1.0292*** | 1.3461*** | 1.0035*** | 0.5862*** | 0.8360*** | 0.7350*** | 0.8373*** | 0.4039*** |
SMB | −0.0453 | −0.2844*** | −0.1015** | −0.0177 | −0.0483 | −0.3479*** | −0.0155 | −0.4036*** | −0.4365*** | −0.2568*** |
HML Devil | 0.1766*** | 0.4914*** | 0.2338*** | −0.3358*** | 0.3216*** | 0.0341 | 0.4268*** | −0.0613 | 0.0680 | 0.1356** |
Model 4: FFC | ||||||||||
MKT | 1.0294*** | 1.2400*** | 1.0522*** | 1.2112*** | 1.0323*** | 0.6266*** | 0.9222*** | 0.7455*** | 0.8331*** | 0.4778*** |
SMB | −0.0393 | −0.2564*** | −0.0936** | −0.0333 | −0.0352 | −0.3462*** | 0.0034 | −0.4042*** | −0.4330*** | −0.2529*** |
HML | 0.0838* | 0.7307*** | 0.2811*** | −0.7128*** | 0.3411*** | 0.1860** | 0.5356*** | 0.0072 | −0.0472 | 0.2937*** |
MOM | −0.1200*** | −0.0975*** | −0.0696*** | −0.1491*** | −0.0962 | 0.0741* | 0.0038 | 0.0511 | −0.0270 | 0.1223*** |
Model 5: FFPS | ||||||||||
MKT | 1.0722*** | 1.3102*** | 1.0848*** | 1.2739*** | 1.0704*** | 0.5976*** | 0.8042*** | 0.7321*** | 0.8151*** | 0.4326*** |
SMB | −0.0194 | −0.2563*** | −0.0976* | −0.0375 | −0.0347 | −0.3390*** | −0.0826 | −0.4094*** | −0.4583*** | −0.2474*** |
HML | 0.1555*** | 0.7890*** | 0.3053*** | −0.6674*** | 0.4279*** | 0.1541* | 0.4222*** | −0.0318 | −0.0704 | 0.2404*** |
LIQ | −0.0305 | −0.0900* | −0.0097 | 0.0252 | 0.2611*** | −0.0158 | 0.3609*** | −0.1128*** | 0.0213 | 0.1002 |