Table 3 Univariate sort analysis ST...

Table 3

Univariate sort analysis

ST decile
	1 (Low)	2	3	4	5	6	7	8	9	10 (High)	10–1
Panel A: Equal-weighted portfolio
Excess	1.04	1.00	0.96	1.04	1.11	1.03	1.05	1.02	0.72	−0.27	−1.31
return	(2.35)	(2.55)	(2.43)	(2.57)	(2.64)	(2.38)	(2.33)	(2.19)	(1.55)	(−0.46)	(−4.85)
3-factor	0.71	0.53	0.48	0.53	0.58	0.53	0.61	0.58	0.31	−0.67	−1.38
alpha	(5.65)	(4.06)	(4.35)	(4.26)	(5.62)	(4.38)	(6.13)	(5.62)	(2.53)	(−2.95)	(−5.07)
4-factor	0.76	0.60	0.54	0.58	0.64	0.56	0.64	0.56	0.29	−0.73	−1.50
alpha	(6.44)	(5.19)	(5.11)	(4.82)	(6.80)	(4.70)	(6.55)	(5.37)	(2.28)	(−3.47)	(−5.91)
Panel B: Value-weighted portfolio
Excess	0.56	0.07	0.25	0.50	0.42	0.71	0.23	0.66	0.56	−0.51	−1.07
return	(1.43)	(0.20)	(0.79)	(1.28)	(1.06)	(1.73)	(0.51)	(1.42)	(1.11)	(−1.10)	(−3.16)
3-factor	0.45	−0.11	0.03	0.16	−0.04	0.49	−0.10	0.43	0.32	−0.61	−1.06
alpha	(1.92)	(−0.63)	(0.21)	(0.73)	(−0.20)	(2.31)	(−0.51)	(2.59)	(1.18)	(−2.22)	(−3.11)
4-factor	0.41	−0.09	0.04	0.20	0.01	0.48	−0.13	0.38	0.22	−0.78	−1.19
alpha	(1.77)	(−0.53)	(0.22)	(0.89)	(0.08)	(2.33)	(−0.61)	(2.44)	(0.85)	(−2.93)	(−3.59)

ST decile
	1 (Low)	2	3	4	5	6	7	8	9	10 (High)	10–1
Panel A: Equal-weighted portfolio
Excess	1.04	1.00	0.96	1.04	1.11	1.03	1.05	1.02	0.72	−0.27	−1.31
return	(2.35)	(2.55)	(2.43)	(2.57)	(2.64)	(2.38)	(2.33)	(2.19)	(1.55)	(−0.46)	(−4.85)
3-factor	0.71	0.53	0.48	0.53	0.58	0.53	0.61	0.58	0.31	−0.67	−1.38
alpha	(5.65)	(4.06)	(4.35)	(4.26)	(5.62)	(4.38)	(6.13)	(5.62)	(2.53)	(−2.95)	(−5.07)
4-factor	0.76	0.60	0.54	0.58	0.64	0.56	0.64	0.56	0.29	−0.73	−1.50
alpha	(6.44)	(5.19)	(5.11)	(4.82)	(6.80)	(4.70)	(6.55)	(5.37)	(2.28)	(−3.47)	(−5.91)
Panel B: Value-weighted portfolio
Excess	0.56	0.07	0.25	0.50	0.42	0.71	0.23	0.66	0.56	−0.51	−1.07
return	(1.43)	(0.20)	(0.79)	(1.28)	(1.06)	(1.73)	(0.51)	(1.42)	(1.11)	(−1.10)	(−3.16)
3-factor	0.45	−0.11	0.03	0.16	−0.04	0.49	−0.10	0.43	0.32	−0.61	−1.06
alpha	(1.92)	(−0.63)	(0.21)	(0.73)	(−0.20)	(2.31)	(−0.51)	(2.59)	(1.18)	(−2.22)	(−3.11)
4-factor	0.41	−0.09	0.04	0.20	0.01	0.48	−0.13	0.38	0.22	−0.78	−1.19
alpha	(1.77)	(−0.53)	(0.22)	(0.89)	(0.08)	(2.33)	(−0.61)	(2.44)	(0.85)	(−2.93)	(−3.59)

Note(s): This table reports the results of univariate portfolio sorts on the salience theory measure (ST). At the end of each month, stocks are sorted into decile portfolios based on ST and held for one month. Panel A presents equal-weighted results, and Panel B presents value-weighted results. We report the average excess returns and alphas from Fama and French (1993) three-factor and Carhart (1997) four-factor models. The column labeled “10–1” refers to the high-minus-low (D10−D1) portfolio. Newey and West (1987) t-statistics with 12 lags are shown in parentheses. The sample consists of all common stocks listed on KOSPI and KOSDAQ from March 2005 to December 2024

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