Table 7 Value investing and performance...

Table 7

Value investing and performance

Variable	Model1	Model2	Model3	Model4	Model5	Model6
alpha5f_	−0.1967^**	−0.2618^***	−0.2012^***	−0.2203^***	−0.2321^**	−0.2277^***
ROAPER (T-1)	0.0223^***	–	–	0.0251^***	–	–
ROAPERsq (T-1)	−0.0001^***	–	–	−0.0001^***	–	–
ROAPtoFCF (T-1)	–	0.0058^**	–	–	0.0055^**	–
ROAPtoFCFsq (T-1)	–	0.00000	–	–	0.000000	–
RoaPtobook (T-1)	–	–	0.0442	–	–	0.0982
RoaPtobooksq (T-1)	–	–	−0.0002	–	–	−0.0043
Moat	–	–	–	−0.0043	−0.0006	−0.0025
Return_	0.0617^***	0.0715^***	0.0611^***	0.0595^***	0.0731^***	0.0614^***
Logassets	−0.0045	0.017	−0.0127	0.0018	0.0117	0.0106
LossDev_	0.1078^***	0.1164^***	0.1025^***	0.1182^***	0.1159^***	0.1146^***
NetflowTA	0.0182	0.1347	0.0253	0.0345	0.1779	0.0156
Largeblend	0.0322	−0.3854	0.026	−0.1898	−0.2993	−0.2099
Largegrowth	−0.2159	−0.6542^**	−0.2825	−0.4893^*	−0.5814^**	−0.4249
Largevalue	0.0259	−0.4657^*	0.0128	−0.2379	−0.4038	−0.1904
_cons	−1.224	−1.8401^***	0	−5.3749^***	−1.6734^**	−2.9528^***
N	357	242	357	324	241	324
hansen	0.998	0.971	0.95	0.962	0.967	0.887
ar2	−0.2999	−1.7373	−0.2455	−0.1944	−1.5488	−0.5256

Variable	Model1	Model2	Model3	Model4	Model5	Model6
alpha5f_	−0.1967^**	−0.2618^***	−0.2012^***	−0.2203^***	−0.2321^**	−0.2277^***
ROAPER (T-1)	0.0223^***	–	–	0.0251^***	–	–
ROAPERsq (T-1)	−0.0001^***	–	–	−0.0001^***	–	–
ROAPtoFCF (T-1)	–	0.0058^**	–	–	0.0055^**	–
ROAPtoFCFsq (T-1)	–	0.00000	–	–	0.000000	–
RoaPtobook (T-1)	–	–	0.0442	–	–	0.0982
RoaPtobooksq (T-1)	–	–	−0.0002	–	–	−0.0043
Moat	–	–	–	−0.0043	−0.0006	−0.0025
Return_	0.0617^***	0.0715^***	0.0611^***	0.0595^***	0.0731^***	0.0614^***
Logassets	−0.0045	0.017	−0.0127	0.0018	0.0117	0.0106
LossDev_	0.1078^***	0.1164^***	0.1025^***	0.1182^***	0.1159^***	0.1146^***
NetflowTA	0.0182	0.1347	0.0253	0.0345	0.1779	0.0156
Largeblend	0.0322	−0.3854	0.026	−0.1898	−0.2993	−0.2099
Largegrowth	−0.2159	−0.6542^**	−0.2825	−0.4893^*	−0.5814^**	−0.4249
Largevalue	0.0259	−0.4657^*	0.0128	−0.2379	−0.4038	−0.1904
_cons	−1.224	−1.8401^***	0	−5.3749^***	−1.6734^**	−2.9528^***
N	357	242	357	324	241	324
hansen	0.998	0.971	0.95	0.962	0.967	0.887
ar2	−0.2999	−1.7373	−0.2455	−0.1944	−1.5488	−0.5256

Note(s): This table contains the values of the GMM regression parameters among the five- factor alphas and a set of explanatory variables. ROAPER is the interaction variable of the product of Roa and the Price-Earning Ratio and $ROAPERsq$ is the ROAPER squared. ROAPtoFCF is the product of ROA and the Price to FCF and ROAPtoFCFsq is the square of ROAtoFCF. Roaptobook is the product interaction variable of the product of Roa and Price-to-Book and RoaPtobooksq is its squared value. Return is the net return and Logassets is the logarithm of the size in euros of the pension fund. LossDev_ is the volatility of the fund, while NetflowTA is the percentage that the net flows represent over total assets. Largeblend, Largegrowth and Largevalue are dummies for the investment style of the fund. The model has been estimated including temporary dummies that are not shown in the results. N refers to the number of observations, Hansen is a test for overidentifying restrictions and AR2 is the autocorrelation test. Legend: ^*p < 0.1; ^**p < 0.05; ^***p < 0.01

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