Intercept

IVOL

SIZE

Value

Reversal

Momentum

0.0130

(3.03)

−0.7141

(−2.92)

−5.93E−8

(−0.35)

0.0056

(1.52)

−0.5235

(−3.14)

0.0063

(3.99)

0.0098

(2.83)

−0.4504

(−3.12)

−0.0164

(−1.39)

0.0093

(2.35)

−0.5830

(−2.82)

0.0142

(3.87)

0.0021

(0.49)

−0.4454

(−1.75)

4.97E−9

(0.03)

0.0063

(4.99)

−0.0495

(−3.68)

0.0210

(5.07)