Intercept

IVOL

SIZE

Value

Reversal

Momentum

0.0117

(3.10)

−0.6322

(−3.08)

0.0017

(0.48)

1.16E−7

(0.68)

−0.0035

(−0.72)

0.0072

(3.75)

0.0022

(0.53)

−0.0135

(−1.02)

0.0005

(0.15)

0.0159

(4.21)