Time series Regressions: Two Different Models-Ten Different Industries (Returns) | ||||||||||
| Consumer Discretionary | Financials | Industrials | Information Technology | Materials | Consumer Staples | Energy | Health Care | Telecom. Services | Utilities |
Model 9: BS6 | ||||||||||
MKT | 1.0429*** | 1.2967*** | 1.1012*** | 1.1787*** | 1.0964*** | 0.6909*** | 0.8435*** | 0.7904*** | 0.7936*** | 0.4805*** |
SMB | 0.0347 | −0.1721*** | −0.0166 | −0.1290 | 0.0350 | −0.1880*** | −0.0703 | −0.3085*** | −0.5334*** | −0.2772*** |
IA | −0.0010 | 0.0009 | 0.0013* | −0.0007 | 0.0024 | 0.0015 | −0.0008 | 0.0011 | −0.0003 | −0.0003 |
ROE | 0.0017** | 0.0039*** | 0.0030*** | −0.0045*** | 0.0027** | 0.0054*** | 0.0009 | 0.0035*** | −0.0026* | −0.0003 |
HML Devil | 0.1731*** | 0.6274*** | 0.2410*** | −0.7032*** | 0.3381*** | 0.0733 | 0.5508*** | −0.1133 | 0.0932 | 0.4448*** |
MOM | −0.0844* | 0.0544 | −0.0483 | −0.3378*** | −0.0290 | −0.0418 | 0.2639*** | −0.0904 | 0.1041 | 0.3301*** |
Model 10: SY4 | ||||||||||
MKT | 1.0491*** | 1.2387*** | 1.1048*** | 1.2102*** | 1.1260*** | 0.7826*** | 0.7949*** | 0.8308*** | 0.8920*** | 0.5374*** |
SMBm | −0.0176 | −0.1960** | −0.1001 | −0.0914 | −0.0230 | −0.2713*** | −0.1312 | −0.3930*** | −0.5913*** | −0.2307*** |
MGMT | 0.1270*** | 0.6342*** | 0.2809*** | −0.6174*** | 0.3192*** | 0.3819*** | 0.1013 | 0.1816** | 0.0727 | 0.2531** |
PERF | −0.0862** | −0.3638*** | −0.0430 | 0.0624 | −0.0320 | 0.2275*** | 0.0279 | 0.1524* | 0.0948 | 0.0921 |