Do select macroeconomic factors drive momentum returns?

Future Business Journal

Table 3 Results of FF-3 factor model for different trading strategies

Portfolios	α	β	s	l	t(α)	t(β)	t(s)	t(l)	R²
33*
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
66*
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
1212*
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
3636*
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
6060*
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