Time series Regressions: Five Different Models-Ten Different Industries Returns (Quintile 0.10) | ||||||||||
Q = 0.10 | Consumer Discretionary | Financials | Industrials | Information Technology | Materials | Consumer Staples | Energy | Health Care | Telecom. Services | Utilities |
Model 1: CAPM |
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MKT | 1.0644*** | 1.1900*** | 1.0536*** | 1.3151*** | 1.0607*** | 0.5705*** | 0.8320*** | 0.7250*** | 0.8375*** | 0.4265*** |
Model 2: FF3 | ||||||||||
MKT | 1.0909*** | 1.3095*** | 1.0914*** | 1.2430*** | 1.1919*** | 0.6121*** | 0.8733*** | 0.7142*** | 0.8479*** | 0.5517*** |
SMB | −0.0450 | −0.1920* | −0.1561** | 0.1214 | −0.0927 | −0.3108** | 0.0463 | −0.3747*** | −0.2964** | −0.2149 |
HML | 0.1468** | 0.8213*** | 0.2788*** | −0.9106*** | 0.4338*** | 0.1278 | 0.4792*** | −0.0926 | −0.0288 | 0.2331 |
Model 3: FFAF |
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MKT | 1.0438*** | 1.1346*** | 1.0895*** | 1.4464*** | 1.0071*** | 0.6342*** | 0.8330*** | 0.7132*** | 0.8615*** | 0.5126*** |
SMB | −0.1302 | −0.2426*** | −0.1729** | 0.0549 | −0.1323 | −0.2855** | 0.0420 | −0.3650*** | −0.3091** | −0.2753 |
HML Devil | 0.1462** | 0.4269*** | 0.2393*** | −0.5371*** | 0.3388*** | 0.0533 | 0.2507 | −0.0873 | −0.0276 | 0.0741 |
Model 4: FFC | ||||||||||
MKT | 1.0238*** | 1.2451*** | 1.0981*** | 1.1092*** | 1.0728*** | 0.6395*** | 0.8907*** | 0.7073*** | 0.8414*** | 0.6493*** |
SMB | −0.1173 | −0.1425* | −0.1876*** | 0.1129 | −0.1730 | −0.1855 | 0.0207 | −0.3845*** | −0.3621*** | −0.2242 |
HML | 0.1066* | 0.7869*** | 0.2775*** | −0.8499*** | 0.4172*** | 0.1962** | 0.6085*** | −0.0682 | −0.0245 | 0.2872* |
MOM | −0.1432*** | −0.0792 | −0.0266 | −0.1694** | −0.1031 | 0.1314 | 0.0928 | 0.0300 | 0.0680 | 0.1629 |
Model 5: FFPS |
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MKT | 1.1007*** | 1.3682*** | 1.1342*** | 1.2664*** | 1.0803*** | 0.6346*** | 0.8375*** | 0.6970*** | 0.8369*** | 0.6025*** |
SMB | −0.0309 | −0.2411*** | −0.1047 | 0.1506 | −0.0337 | −0.3118** | −0.0425 | −0.3852*** | −0.3084** | −0.2300 |
HML | 0.2124*** | 0.8259*** | 0.3299*** | −0.9625*** | 0.5632*** | 0.1521 | 0.4340*** | −0.0977 | −0.0504 | 0.1845 |
LIQ | −0.0139 | −0.1341* | −0.0749 | 0.0625 | 0.2349** | −0.0645 | 0.2096* | −0.0618 | −0.0497 | 0.1390 |