Time series Regressions: Three Different Models-Ten Different Industries (Returns) | ||||||||||
| Consumer Discretionary | Financials | Industrials | Information Technology | Materials | Consumer Staples | Energy | Health Care | Telecom. Services | Utilities |
Model 6: FF5 | ||||||||||
MKT | 1.0926*** | 1.2093*** | 1.1201*** | 1.1358*** | 1.1469*** | 0.7664*** | 0.9909*** | 0.8353*** | 0.9253*** | 0.5047*** |
SMB | 0.0445 | −0.2800*** | −0.0222 | −0.1538* | 0.0600 | −0.1600*** | 0.0772 | −0.3020*** | −0.4305*** | −0.2512*** |
HML | 0.1001 | 0.9405*** | 0.2110*** | −0.3440*** | 0.1843** | −0.2380*** | 0.3648** | −0.2767*** | −0.2705** | 0.0526 |
RMW | 0.2665*** | −0.1020 | 0.2403*** | −0.4205*** | 0.3346*** | 0.6413*** | 0.2583* | 0.3612*** | 0.0594 | 0.0391 |
CMA | −0.0983 | −0.3595*** | 0.0842 | −0.4960*** | 0.2635** | 0.5611*** | 0.2513 | 0.4186*** | 0.5410** | 0.4541*** |
Model 7: FF4 |
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MKT | 1.1073*** | 1.3471*** | 1.1510*** | 1.0854*** | 1.1739*** | 0.7315*** | 1.0443*** | 0.7947*** | 0.8857*** | 0.5124*** |
SMB | 0.0529 | −0.2009*** | −0.0044 | −0.1828** | 0.0755 | −0.1800*** | 0.1079 | −0.3253*** | −0.4533*** | −0.2467*** |
RMW | 0.3045*** | 0.2558** | 0.3205*** | −0.5513*** | 0.4047*** | 0.5508*** | 0.3970*** | 0.2560*** | −0.0435 | 0.0592 |
CMA | −0.0022 | 0.5435*** | 0.2868*** | −0.8262*** | 0.4404*** | 0.3326*** | 0.6015*** | 0.1530 | 0.2813 | 0.5046*** |
Model 8: HXZ | ||||||||||
MRP | 1.0511*** | 1.2738*** | 1.1022*** | 1.2354*** | 1.0804*** | 0.6888*** | 0.7931*** | 0.8014*** | 0.8029*** | 0.4394*** |
ME | 0.0001 | 0.0010 | 0.0003 | −0.0030*** | 0.0016** | −0.0003 | 0.0021** | −0.0016 | −0.0034*** | 0.0002 |
IA | −0.0002 | 0.0046*** | 0.0026*** | −0.0056*** | 0.0044*** | 0.0018* | 0.0030** | 0.0002 | 0.0002 | 0.0029* |
ROE | 0.0002 | 0.0027** | 0.0018** | −0.0042*** | 0.0012 | 0.0055*** | 0.0013 | 0.0043*** | −0.0004 | 0.0016 |