r. david mclean, jeffrey pontiff and akiko watanabe - Center for ...

Panel B
Regression (1) (2) (3) (4) (5) (6)
Return Horizon 1-Month 1-Month 1-Month 1st-Year 1st-Year 1st-Year
Weighting Equal Value Scaled Equal Value Scaled
Intercept 1.19 0.77 15.05 0.67 19.63 16.14
(4.09) (2.25) (2.61) (1.81) (3.25) (2.97)
ME -0.05 0.04 0.06 0.06 -0.99 -0.10
(-1.84) (-1.36) (-0.14) (-1.66) (-2.10) (-0.28)
BM 0.29 0.35 3.20 0.31 3.56 3.89
(5.63) (5.03) (2.70) (4.34) (2.87) (3.26)
BM-Dum 0.40 0.31 2.55 0.27 4.57 3.49
(6.99) (3.45) (1.76) (2.65) (4.57) (2.61)
MOM 1.06 0.81 8.24 0.84 9.72 6.47
(5.97) (2.98) (2.76) (2.70) (3.31) (2.19)
NEG1 0.09 -0.04 -2.77 -0.10 0.37 -2.31
(1.10) (-0.34) (-1.76) (-0.89) (-0.39) (-1.45)
NEG2 0.03 -0.06 -0.45 -0.12 0.61 0.41
(0.36) (-0.47) (-0.24) (-0.94) (0.91) (0.24)
POS1 0.08 -0.05 -0.31 -0.08 1.10 0.06
(1.53) (-0.81) (-0.55) (-1.18) (2.33) (0.10)
POS2 -0.01 0.08 -0.31 0.05 -0.31 0.28
(-0.14) (1.14) (-0.35) (0.69) (-0.42) (0.37)
POS3 -0.17 -0.01 -0.54 -0.04 -0.56 -0.26
(-2.89) (-0.09) (-0.51) (-0.52) (-0.82) (-0.37)
POS4 -0.35 -0.27 -3.24 -0.30 -2.98 -3.32
(-4.71) (-3.18) (-2.80) (-3.46) (-3.87) (-3.53)
POS5 -0.55 -0.43 -5.52 -0.48 -5.03 -5.11
(-6.30) (-4.48) (-6.45) (-5.00) (-5.84) (-6.13)
Average Adj. R 2 16.02 24.93 25.43 23.26 19.78 27.00
Country Dummies Yes Yes Yes Yes Yes Yes
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