Table 11 Robustness tests ST quintile 1...

Table 11

Robustness tests

	ST quintile
	1	2	3	4	5	Diff	FF3	FF4
Panel A. Alternative parameters
θ = 0.15, δ = 0.7	0.95	0.99	1.05	1.02	−0.05	−0.99	−0.97	−1.09
θ = 0.15, δ = 0.7	(2.30)	(2.44)	(2.41)	(2.16)	(−0.09)	(−4.51)	(−4.62)	(−5.33)
θ = 0.10, δ = 0.6	0.89	1.02	1.08	1.02	−0.04	−0.94	−0.95	−1.06
θ = 0.10, δ = 0.6	(2.15)	(2.55)	(2.46)	(2.17)	(−0.08)	(−4.44)	(−4.70)	(−5.54)
Panel B. Alternative horizons
Three months	0.94	1.03	1.09	1.04	−0.15	−1.09	−1.03	−1.16
Three months	(2.44)	(2.43)	(2.52)	(2.17)	(−0.27)	(−3.95)	(−4.41)	(−5.33)
Six months	0.91	0.99	1.14	0.85	0.08	−0.82	−0.76	−0.86
Six months	(2.23)	(2.36)	(2.53)	(1.83)	(0.16)	(−3.10)	(−3.14)	(−3.44)
Panel C. Alternative price filter
KRW 500	0.94	0.96	1.07	1.03	−0.03	−0.98	−0.97	−1.08
KRW 500	(2.28)	(2.37)	(2.44)	(2.19)	(−0.06)	(−4.43)	(−4.66)	(−5.43)
KRW 1,500	0.88	0.92	1.01	0.97	−0.07	−0.95	−0.96	−1.08
KRW 1,500	(2.16)	(2.38)	(2.29)	(2.15)	(−0.14)	(−4.46)	(−4.72)	(−5.49)
Panel D. Subperiod
Pre-2015	1.13	1.35	1.30	1.22	0.20	−0.93	−0.95	−1.02
Pre-2015	(1.69)	(2.14)	(1.96)	(1.66)	(0.27)	(−4.48)	(−4.05)	(−4.88)
Post-2015	0.91	0.67	0.85	0.85	0.25	−0.66	−0.67	−0.74
Post-2015	(1.82)	(1.40)	(1.58)	(1.56)	(0.36)	(−2.21)	(−2.43)	(−2.66)

	ST quintile
	1	2	3	4	5	Diff	FF3	FF4
Panel A. Alternative parameters
θ = 0.15, δ = 0.7	0.95	0.99	1.05	1.02	−0.05	−0.99	−0.97	−1.09
θ = 0.15, δ = 0.7	(2.30)	(2.44)	(2.41)	(2.16)	(−0.09)	(−4.51)	(−4.62)	(−5.33)
θ = 0.10, δ = 0.6	0.89	1.02	1.08	1.02	−0.04	−0.94	−0.95	−1.06
θ = 0.10, δ = 0.6	(2.15)	(2.55)	(2.46)	(2.17)	(−0.08)	(−4.44)	(−4.70)	(−5.54)
Panel B. Alternative horizons
Three months	0.94	1.03	1.09	1.04	−0.15	−1.09	−1.03	−1.16
Three months	(2.44)	(2.43)	(2.52)	(2.17)	(−0.27)	(−3.95)	(−4.41)	(−5.33)
Six months	0.91	0.99	1.14	0.85	0.08	−0.82	−0.76	−0.86
Six months	(2.23)	(2.36)	(2.53)	(1.83)	(0.16)	(−3.10)	(−3.14)	(−3.44)
Panel C. Alternative price filter
KRW 500	0.94	0.96	1.07	1.03	−0.03	−0.98	−0.97	−1.08
KRW 500	(2.28)	(2.37)	(2.44)	(2.19)	(−0.06)	(−4.43)	(−4.66)	(−5.43)
KRW 1,500	0.88	0.92	1.01	0.97	−0.07	−0.95	−0.96	−1.08
KRW 1,500	(2.16)	(2.38)	(2.29)	(2.15)	(−0.14)	(−4.46)	(−4.72)	(−5.49)
Panel D. Subperiod
Pre-2015	1.13	1.35	1.30	1.22	0.20	−0.93	−0.95	−1.02
Pre-2015	(1.69)	(2.14)	(1.96)	(1.66)	(0.27)	(−4.48)	(−4.05)	(−4.88)
Post-2015	0.91	0.67	0.85	0.85	0.25	−0.66	−0.67	−0.74
Post-2015	(1.82)	(1.40)	(1.58)	(1.56)	(0.36)	(−2.21)	(−2.43)	(−2.66)

Note(s): This table presents robustness tests of the salience effect. Panel A reports results using alternative parameter values of the salience function. Panel B reports results using alternative time horizons for constructing the ST measure. Panel C reports results using alternative minimum price filters. Panel D reports subperiod results. At the end of each month, stocks are sorted into quintiles according to the salience theory measure (ST). Portfolios are held for one month. 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 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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