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

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

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

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