Do select macroeconomic factors drive momentum returns?

Balakrishnan, A.; Barik, Nirakar

doi:10.1186/s43093-021-00097-2

Future Business Journal

Table 5 Results of power of macroeconomic variables in explaining momentum returns over different trading strategies

From: Do select macroeconomic factors drive momentum returns?

Portfolios	P₁	P₂	P₃	P₄	P₅	All mean returns	P₅ − P₁
33*
FP₁	0.009 (1.123)	0.005 (0.83)	0.013 (1.925)	0.013 (2.173)	0.025 (4.233)	0.013 (2.0568)	0.017 (3.109)
FP₂	0.003 (0.378)	0.008 (1.395)	0.011 (1.839)	0.014 (2.236)	0.017 (3.032)	0.0106 (1.776)	0.014 (2.655)
FP₃	0.013 (1.737)	0.014 (2.268)	0.015 (2.636)	0.012 (2.002)	0.016 (2.547)	0.014 (2.2376)	0.002 (0.810)
FP₄	0.021 (2.669)	0.017 (2.615)	0.02 (3.257)	0.021 (3.439)	0.016 (2.451)	0.019 (2.8862)	− 0.005 (− 0.218)
FP₅	0.015 (1.808)	0.016 (2.041)	0.019 (2.636)	0.022 (3.03)	0.037 (5.388)	0.0218 (2.9806)	0.021 (3.579)
66*
FP₁	0.01 (1.424)	0.012 (2.04)	0.014 (2.55)	0.017 (3.246)	0.029 (5.113)	0.0164 (2.8746)	0.019 (3.689)
FP₂	0.012 (1.64)	0.012 (2.007)	0.009 (1.886)	0.016 (3.274)	0.023 (4.154)	0.0144 (2.5922)	0.011 (2.514)
FP₃	0.016 (2.21)	0.018 (2.953)	0.01 (1.813)	0.016 (2.962)	0.021 (3.952)	0.0162 (2.778)	0.004 (1.742)
FP₄	0.023 (3.18)	0.022 (3.421)	0.019 (3.46)	0.021 (3.776)	0.028 (4.559)	0.0226 (3.6792)	0.005 (1.379)
FP₅	0.019 (2.224)	0.019 (2.593)	0.024 (3.637)	0.025 (4.032)	0.035 (5.254)	0.0244 (3.548)	0.017 (3.030)
1212*
FP₁	0.004 (0.686)	0.004 (0.722)	0.009 (2.054)	0.015 (3.279)	0.028 (5.24)	0.012 (2.3962)	0.023 (4.554)
FP₂	0.005 (0.715)	0.009 (1.746)	0.008 (1.682)	0.013 (3.152)	0.019 (4.219)	0.0108 (2.3028)	0.015 (3.505)
FP₃	0.009 (1.525)	0.004 (0.926)	0.011 (2.475)	0.012 (2.629)	0.019 (4.122)	0.011 (2.3354)	0.009 (2.596)
FP₄	0.013 (2.152)	0.016 (3.078)	0.014 (2.994)	0.016 (3.881)	0.021 (4.653)	0.016 (3.3516)	0.008 (2.501)
FP₅	0.016 (2.12)	0.01 (1.933)	0.014 (2.758)	0.016 (3.551)	0.033 (6.854)	0.0178 (3.4432)	0.017 (4.734)
3636*
FP₁	0.003 (0.47)	0.004 (0.786)	0.012 (2.658)	0.017 (3.606)	0.031 (5.709)	0.0134 (2.6458)	0.028 (5.239)
FP₂	0.002 (0.313)	0.011 (2.198)	0.01 (2.042)	0.01 (2.14)	0.019 (4.285)	0.0104 (2.1956)	0.017 (3.971)
FP₃	0.008 (1.2)	− 0.001 (− 0.189)	0.009 (2.076)	0.01 (2.339)	0.016 (3.452)	0.0084 (1.7756)	0.008 (2.252)
FP₄	0.017 (2.726)	0.013 (2.572)	0.01 (2.137)	0.019 (4.528)	0.018 (4.292)	0.0154 (3.251)	0.001 (1.566)
FP₅	0.008 (0.967)	0.014 (2.54)	0.014 (2.649)	0.02 (4.149)	0.03 (6.414)	0.0172 (3.3438)	0.022 (5.447)
6060*
FP₁	0.016 (2.346)	0.016 (2.982)	0.017 (4.342)	0.026 (5.381)	0.044 (7.647)	0.0238 (4.5396)	0.027 (5.301)
FP₂	0.014 (2.26)	0.025 (4.858)	0.02 (4.567)	0.022 (5.312)	0.028 (6.46)	0.0218 (4.6914)	0.014 (4.200)
FP₃	0.016 (2.559)	0.004 (0.961)	0.013 (3.39)	0.017 (4.31)	0.022 (4.826)	0.0144 (3.2092)	0.006 (2.267)
FP₄	0.027 (4.738)	0.018 (3.359)	0.015 (3.524)	0.027 (6.571)	0.024 (6.07)	0.0222 (4.8524)	− 0.003 (1.332)
FP₅	0.014 (1.999)	0.028 (5.139)	0.025 (4.57)	0.029 (6.228)	0.036 (7.415)	0.0264 (5.0702)	0.022 (5.416)

The results are presented from authors’ own data computation

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