Do select macroeconomic factors drive momentum returns?

Balakrishnan, A.; Barik, Nirakar

doi:10.1186/s43093-021-00097-2

Future Business Journal

Table 4 Results of CFF model over different trading strategies

From: Do select macroeconomic factors drive momentum returns?

Portfolios	Α	β	s	L	w	t(α)	t(β)	t(s)	t(l)	t(w)	R²
33*
P₁	0.01	1.036	0.59	0.353	− 0.635	4.174	30.44	8.307	5.622	− 11.881	0.916
P₂	0.008	1.018	0.583	0.182	− 0.237	3.568	31.739	8.718	3.078	− 4.699	0.902
P₃	0.008	1.018	0.563	0.138	0.045	3.217	30.808	8.162	2.269	0.871	0.886
P₄	0.007	1.026	0.627	0.188	0.283	2.866	30.149	8.839	2.994	5.296	0.882
P₅	0.011	1.072	0.738	0.271	0.625	4.514	33.596	11.085	4.595	12.477	0.907
66*
P₁	0.01	1.086	0.596	0.184	− 0.718	3.588	28.531	7.472	2.583	− 11.342	0.9
P₂	0.011	0.983	0.543	0.204	− 0.401	4.49	30.831	8.13	3.427	− 7.563	0.906
P₃	0.006	0.984	0.539	0.156	− 0.072	2.714	32.534	8.498	2.75	− 1.43	0.902
P₄	0.01	0.986	0.584	0.23	0.155	4.189	31.434	8.872	3.926	2.974	0.896
P₅	0.013	1.097	0.794	0.205	0.533	4.852	30.473	10.522	3.044	8.907	0.888
1212*
P₁	0.013	1.086	0.662	0.033	− 0.93	5.577	34.338	10.118	0.531	− 21.024	0.94
P₂	0.009	0.986	0.528	0.032	− 0.507	4.283	36.474	9.451	0.61	− 13.391	0.933
P₃	0.01	1	0.496	0.033	− 0.322	4.241	31.097	7.464	0.531	− 7.159	0.9
P₄	0.009	0.933	0.61	0.289	0.055	4.472	33.012	10.435	5.26	1.381	0.912
P₅	0.014	1.098	0.801	0.009	0.353	5.834	33.786	11.927	0.146	7.757	0.902
3636*
P₁	0.005	1.094	0.735	0.224	− 0.792	2.027	16.540	7.864	1.620	− 6.296	0.963
P₂	0.003	0.936	0.723	0.058	− 0.517	1.297	16.040	8.770	0.475	− 4.663	0.949
P₃	0.004	1.001	0.519	0.134	− 0.123	1.928	18.114	6.654	1.164	− 1.177	0.940
P₄	0.001	0.958	0.680	0.314	0.264	0.672	15.767	7.921	2.467	2.290	0.921
P₅	0.005	1.089	0.879	0.092	0.336	2.374	18.356	10.486	0.746	2.979	0.928
6060*
P₁	0.002	0.963	0.839	0.151	− 0.827	0.783	12.266	7.374	0.781	− 4.99	0.968
P₂	0.008	0.993	0.620	0.175	− 0.369	2.437	12.367	5.328	0.886	− 2.180	0.945
P₃	0.004	1.036	0.448	0.374	0.184	1.256	12.515	3.735	1.831	1.054	0.918
P₄	0.003	0.959	0.718	0.145	0.138	1.033	11.050	5.708	0.679	0.755	0.899
P₅	0.006	1.019	0.901	0.103	0.323	2.230	16.042	9.780	0.660	2.411	0.950

The results are presented from authors’ own data computation

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