Table 5

Fama and MacBeth (1973) cross-sectional regression

Model(1)(2)(3)(4)(5)(6)(7)
ST−0.460−0.412−0.405−0.337−0.073−0.110−0.144
(−6.67)(−6.84)(−5.25)(−5.85)(−1.04)(−1.93)(−2.73)
REV  −0.131−0.147  −0.092
  (−1.21)(−1.58)  (−1.15)
MAX    −0.526 0.388
    (−4.67) (3.35)
IVOL     −0.653−1.045
     (−5.04)(−5.98)
ME −0.472 −0.465  −0.625
 (−3.28) (−3.26)  (−4.54)
BETA 0.232 0.187  0.202
 (3.57) (3.16)  (3.40)
BM 0.437 0.432  0.253
 (3.05) (3.01)  (2.04)
MOM 0.175 0.159  0.256
 (2.28) (2.07)  (3.17)
ILLIQ 0.195 0.199  0.168
 (2.82) (3.13)  (2.50)
PRC 0.174 0.182  0.173
 (4.63) (4.88)  (4.50)

Note(s): This table reports the results of monthly Fama−MacBeth cross-sectional regressions of next-month stock returns on ST and control variables. The dependent variable is the one-month-ahead excess return. Explanatory variables include ST, ME, BETA, BM, MOM, ILLIQ, REV, MAX, IVOL, and PRC. All independent variables are standardized to have zero mean and unit variance each month and are winsorized at the 1st and 99th percentiles. Reported coefficients are time-series averages of monthly slope estimates, expressed in percent per month. Newey and West (1987) adjusted 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

[ViewLarge]
This Feature Is Available To Subscribers Only

or Create an Account

Close subscription notice
Close access options