From: Do select macroeconomic factors drive momentum returns?
Portfolios | α | β | s | l | t(α) | t(β) | t(s) | t(l) | R2 |
---|---|---|---|---|---|---|---|---|---|
3*3 | |||||||||
P1 | 0.005 | 1.067 | 0.639 | 0.523 | 1.546 | 23.154 | 6.635 | 6.289 | 0.844 |
P2 | 0.006 | 1.029 | 0.601 | 0.245 | 2.617 | 30.326 | 8.483 | 4.008 | 0.889 |
P3 | 0.008 | 1.016 | 0.559 | 0.126 | 3.428 | 30.854 | 8.131 | 2.128 | 0.885 |
P4 | 0.01 | 1.012 | 0.606 | 0.113 | 3.586 | 27.662 | 7.925 | 1.707 | 0.862 |
P5 | 0.016 | 1.041 | 0.689 | 0.104 | 4.919 | 23.552 | 7.467 | 1.304 | 0.82 |
6*6 | |||||||||
P1 | 0.003 | 1.114 | 0.651 | 0.401 | 0.838 | 21.967 | 6.123 | 4.384 | 0.821 |
P2 | 0.007 | 0.999 | 0.574 | 0.326 | 2.497 | 27.069 | 7.42 | 4.893 | 0.872 |
P3 | 0.005 | 0.987 | 0.545 | 0.177 | 2.452 | 32.593 | 8.574 | 3.245 | 0.901 |
P4 | 0.011 | 0.98 | 0.572 | 0.183 | 4.85 | 30.579 | 8.506 | 3.169 | 0.89 |
P5 | 0.018 | 1.076 | 0.754 | 0.043 | 5.74 | 24.62 | 8.219 | 0.551 | 0.833 |
12*12 | |||||||||
P1 | 0.004 | 1.128 | 0.671 | 0.46 | 0.913 | 18.325 | 5.259 | 4.067 | 0.771 |
P2 | 0.004 | 1.009 | 0.533 | 0.264 | 1.286 | 25.6 | 6.53 | 3.657 | 0.857 |
P3 | 0.007 | 1.014 | 0.499 | 0.181 | 2.601 | 27.523 | 6.54 | 2.676 | 0.868 |
P4 | 0.01 | 0.93 | 0.609 | 0.263 | 4.79 | 32.897 | 10.396 | 5.075 | 0.911 |
P5 | 0.018 | 1.081 | 0.798 | − 0.153 | 6.279 | 28.427 | 10.119 | − 2.187 | 0.864 |
36*36 | |||||||||
P1 | 0.001 | 0.980 | 0.526 | 1.015 | 0.254 | 11.890 | 4.645 | 13.313 | 0.939 |
P2 | 0.000 | 0.861 | 0.586 | 0.574 | 0.028 | 13.143 | 6.515 | 9.473 | 0.931 |
P3 | 0.004 | 0.984 | 0.487 | 0.258 | 1.666 | 18.444 | 6.650 | 5.237 | 0.940 |
P4 | 0.003 | 0.997 | 0.750 | 0.050 | 1.298 | 16.458 | 9.019 | 0.895 | 0.915 |
P5 | 0.008 | 1.138 | 0.968 | − 0.243 | 3.101 | 18.700 | 11.582 | − 4.307 | 0.919 |
60*60 | |||||||||
P1 | − 0.001 | 0.878 | 0.506 | 1.073 | − 0.352 | 8.723 | 4.182 | 13.755 | 0.945 |
P2 | 0.006 | 0.955 | 0.472 | 0.588 | 1.857 | 11.546 | 4.738 | 9.164 | 0.939 |
P3 | 0.005 | 1.056 | 0.523 | 0.169 | 1.562 | 13.037 | 5.368 | 2.699 | 0.918 |
P4 | 0.004 | 0.974 | 0.775 | − 0.008 | 1.267 | 11.567 | 7.646 | − 0.130 | 0.900 |
P5 | 0.008 | 1.053 | 1.032 | − 0.257 | 2.724 | 15.860 | 12.915 | − 4.989 | 0.943 |