Table 4 Bivariate and residual sort...

Table 4

Bivariate and residual sort analysis: controlling for firm-characteristic variables

Panel A. Bivariate portfolio sorts
	Control quintile
	1	2	3	4	5	Diff	FF3	FF4
ME	−0.64	−0.62	−1.33	−1.13	−0.09	−0.76	−0.76	−0.86
ME	(−2.07)	(−2.12)	(−4.92)	(−4.19)	(−0.38)	(−4.03)	(−3.97)	(−4.83)
BETA	−1.56	−0.62	−0.35	−0.56	−0.84	−0.79	−0.79	−0.90
BETA	(−5.79)	(−2.54)	(−1.70)	(−2.14)	(−2.22)	(−4.22)	(−4.16)	(−5.25)
BM	−0.83	−0.87	−0.55	−0.44	−0.32	−0.60	−0.71	−0.80
BM	(−2.16)	(−2.87)	(−2.19)	(−1.93)	(−1.48)	(−3.36)	(−4.01)	(−4.79)
MOM	−2.10	−0.92	0.01	0.11	−1.01	−0.78	−0.80	−0.91
MOM	(−5.51)	(−3.64)	(0.03)	(0.38)	(−3.23)	(−4.12)	(−4.11)	(−5.23)
ILLIQ	−1.31	−0.90	−0.76	−0.45	−0.01	−0.69	−0.73	−0.82
ILLIQ	(−5.08)	(−2.65)	(−2.90)	(−1.13)	(−0.04)	(−3.59)	(−3.61)	(−4.48)
REV	−0.51	−0.52	−0.07	−0.27	−1.75	−0.62	−0.59	−0.58
REV	(−2.68)	(−2.62)	(−0.36)	(−1.11)	(−5.16)	(−4.60)	(−4.93)	(−4.64)
MAX	0.05	−0.11	0.05	−0.03	−1.20	−0.25	−0.35	−0.41
MAX	(0.32)	(−0.60)	(0.21)	(−0.13)	(−3.25)	(−1.75)	(−2.41)	(−2.76)
IVOL	0.28	0.08	−0.04	−0.32	−0.99	−0.20	−0.28	−0.35
IVOL	(1.87)	(0.47)	(−0.18)	(−1.23)	(−2.33)	(−1.30)	(−1.73)	(−2.20)
PRC	−1.23	−1.42	−0.90	−0.48	0.01	−0.81	−0.82	−0.93
PRC	(−4.41)	(−5.29)	(−3.80)	(−1.97)	(0.03)	(−4.48)	(−4.43)	(−5.59)

Panel A. Bivariate portfolio sorts
	Control quintile
	1	2	3	4	5	Diff	FF3	FF4
ME	−0.64	−0.62	−1.33	−1.13	−0.09	−0.76	−0.76	−0.86
ME	(−2.07)	(−2.12)	(−4.92)	(−4.19)	(−0.38)	(−4.03)	(−3.97)	(−4.83)
BETA	−1.56	−0.62	−0.35	−0.56	−0.84	−0.79	−0.79	−0.90
BETA	(−5.79)	(−2.54)	(−1.70)	(−2.14)	(−2.22)	(−4.22)	(−4.16)	(−5.25)
BM	−0.83	−0.87	−0.55	−0.44	−0.32	−0.60	−0.71	−0.80
BM	(−2.16)	(−2.87)	(−2.19)	(−1.93)	(−1.48)	(−3.36)	(−4.01)	(−4.79)
MOM	−2.10	−0.92	0.01	0.11	−1.01	−0.78	−0.80	−0.91
MOM	(−5.51)	(−3.64)	(0.03)	(0.38)	(−3.23)	(−4.12)	(−4.11)	(−5.23)
ILLIQ	−1.31	−0.90	−0.76	−0.45	−0.01	−0.69	−0.73	−0.82
ILLIQ	(−5.08)	(−2.65)	(−2.90)	(−1.13)	(−0.04)	(−3.59)	(−3.61)	(−4.48)
REV	−0.51	−0.52	−0.07	−0.27	−1.75	−0.62	−0.59	−0.58
REV	(−2.68)	(−2.62)	(−0.36)	(−1.11)	(−5.16)	(−4.60)	(−4.93)	(−4.64)
MAX	0.05	−0.11	0.05	−0.03	−1.20	−0.25	−0.35	−0.41
MAX	(0.32)	(−0.60)	(0.21)	(−0.13)	(−3.25)	(−1.75)	(−2.41)	(−2.76)
IVOL	0.28	0.08	−0.04	−0.32	−0.99	−0.20	−0.28	−0.35
IVOL	(1.87)	(0.47)	(−0.18)	(−1.23)	(−2.33)	(−1.30)	(−1.73)	(−2.20)
PRC	−1.23	−1.42	−0.90	−0.48	0.01	−0.81	−0.82	−0.93
PRC	(−4.41)	(−5.29)	(−3.80)	(−1.97)	(0.03)	(−4.48)	(−4.43)	(−5.59)

Panel B. Residual-based sorts
	ST quintile
	1	2	3	4	5	Diff	FF3	FF4
REV	0.93	1.02	1.10	1.03	0.27	−0.65	−0.66	−0.68
REV	(2.24)	(2.55)	(2.66)	(2.33)	(0.54)	(−5.20)	(−5.56)	(−5.53)
MAX	0.81	0.98	1.02	0.96	0.58	−0.23	−0.31	−0.40
MAX	(1.76)	(2.38)	(2.39)	(2.25)	(1.25)	(−1.60)	(−1.97)	(−2.55)
IVOL	0.81	1.09	0.86	1.08	0.51	−0.31	−0.38	−0.47
IVOL	(1.82)	(2.65)	(2.06)	(2.51)	(1.04)	(−1.98)	(−2.23)	(−2.75)

Panel B. Residual-based sorts
	ST quintile
	1	2	3	4	5	Diff	FF3	FF4
REV	0.93	1.02	1.10	1.03	0.27	−0.65	−0.66	−0.68
REV	(2.24)	(2.55)	(2.66)	(2.33)	(0.54)	(−5.20)	(−5.56)	(−5.53)
MAX	0.81	0.98	1.02	0.96	0.58	−0.23	−0.31	−0.40
MAX	(1.76)	(2.38)	(2.39)	(2.25)	(1.25)	(−1.60)	(−1.97)	(−2.55)
IVOL	0.81	1.09	0.86	1.08	0.51	−0.31	−0.38	−0.47
IVOL	(1.82)	(2.65)	(2.06)	(2.51)	(1.04)	(−1.98)	(−2.23)	(−2.75)

Note(s): This table reports the results of bivariate and residual portfolio sorts that examine whether the predictive power of ST remains after controlling for other firm characteristics. In Panel A, at the beginning of each month, stocks are first sorted into quintiles based on a control variable (ME, BETA, BM, MOM, ILLIQ, REV, MAX, IVOL, or PRC), and then within each quintile further sorted into quintiles based on ST. Each column from 1 to 5 corresponds to the average return of ST-quintile portfolios, averaged across control-variable quintiles. Panel B presents residual-based sorts. ST is first orthogonalized with respect to each control variable using cross-sectional regressions, and stocks are then sorted into quintiles based on the residual. The column labeled “Diff” reports the raw return spread between the highest and lowest quintiles (Q5–Q1). The subsequent columns (FF3 and FF4) report the corresponding alphas from Fama and French (1993) three-factor and Carhart (1997) four-factor models. Newey and West (1987) t-statistics with 12 lags are reported in parentheses. The sample consists of all common stocks listed on KOSPI and KOSDAQ from March 2005 to December 2024

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