Table 8. Average monthly return of the...

Table 8.

Average monthly return of the double-sorted portfolio

Daytime return basis [%]	1 Lowest quintile, market cap	2	3	4	5 Highest quintile, market cap	Overnight return basis [%]	1 Lowest quintile, market cap	2	3	4	5 Highest quintile, market cap
A. Market capitalization
1(low beta)	−3.200	0.052	1.598	1.709	0.919	1(low beta)	3.520	1.025	−0.310	−0.337	−0.040
2	−1.390	0.118	0.860	1.362	1.000	2	3.745	1.604	0.239	0.353	0.307
3	−2.126	−0.945	0.153	0.863	−0.012	3	3.825	2.103	1.169	0.842	0.896
4	−2.327	−1.027	−0.396	−0.151	−0.598	4	4.028	2.576	1.461	1.704	1.678
5(high beta)	−3.119	−2.203	−2.048	−1.449	−1.632	5(high beta)	4.300	2.985	2.746	2.493	2.637
(5)–(1)	0.081 (0.125)	−2.255*** (−3.558)	−3.646*** (−7.157)	−3.158*** (−4.862)	−2.551*** (−4.529)	(5)–(1)	0.780 (1.171)	1.961*** (3.590)	3.056*** (7.574)	2.830*** (6.246)	2.677*** (6.182)
B. B/P
1(low beta)	−1.618	0.079	−0.066	0.676	0.639	1(low beta)	1.354	0.592	1.102	0.975	0.974
2	−0.911	0.275	−0.008	0.432	1.179	2	1.348	1.492	1.493	0.805	1.592
3	−0.926	−0.380	−0.638	0.344	0.227	3	1.841	1.687	1.982	1.766	1.793
4	−1.818	−1.564	−0.836	−0.497	0.126	4	2.058	2.044	2.169	1.808	1.959
5(high beta)	−3.053	−2.477	−2.168	−1.649	−0.610	5(high beta)	3.306	2.900	2.764	2.570	2.597
(5)–(1)	−1.416** (−2.096)	−2.555*** (−4.053)	−2.103*** (−3.382)	−2.325*** (−3.807)	−1.249** (−1.879)	(5)–(1)	1.953*** (3.573)	2.309*** (4.641)	1.661*** (3.366)	1.595*** (3.145)	1.623*** (3.128)
C. Momentum
1(low beta)	−1.223	0.737	1.047	0.920	−1.559	1(low beta)	1.526	0.227	0.515	0.505	1.821
2	−0.927	0.352	0.756	1.005	−0.635	2	1.760	1.203	0.852	1.235	2.379
3	−1.183	−0.055	0.016	0.224	−0.566	3	1.986	1.536	1.379	1.606	2.390
4	−1.611	−0.210	−0.564	−0.355	−0.941	4	2.141	1.737	1.863	1.818	2.764
5(high beta)	−2.926	−1.191	−1.448	−1.407	−2.235	5(high beta)	3.061	2.282	2.516	2.836	3.644
(5)–(1)	−1.702*** (−2.649)	−1.928*** (−3.176)	−2.495*** (−4.102)	−2.327*** (−3.959)	−0.636 (−0.922)	(5)–(1)	1.536*** (2.611)	2.056*** (4.290)	2.000*** (4.416)	2.331*** (4.662)	1.823*** (3.393)
D. Volatility
1(low beta)	1.676	1.082	0.558	0.029	−5.276	1(low beta)	−0.504	0.408	0.997	1.638	4.723
2	1.732	0.910	0.532	−0.588	−3.457	2	−0.174	0.672	1.319	2.017	4.875
3	1.148	0.806	−0.131	−0.661	−2.912	3	0.092	0.812	1.437	2.205	3.969
4	1.059	0.213	−0.160	−1.236	−2.955	4	0.431	1.096	1.818	2.243	3.810
5(high beta)	0.431	−0.553	−0.930	−1.682	−3.656	5(high beta)	0.661	1.589	2.101	2.904	4.165
(5)–(1)	−1.245*** (−2.806)	−1.635*** (−3.085)	−1.461*** (−2.407)	−1.710*** (−2.501)	1.620** (2.112)	(5)–(1)	1.164*** (3.398)	1.181*** (2.870)	1.105** (2.297)	1.266*** (2.358)	−0.559 (−0.821)

Daytime return basis [%]	1Lowest quintile, market cap	2	3	4	5Highest quintile, market cap	Overnight return basis [%]	1Lowest quintile, market cap	2	3	4	5Highest quintile, market cap
A. Market capitalization
1(low beta)	−3.200	0.052	1.598	1.709	0.919	1(low beta)	3.520	1.025	−0.310	−0.337	−0.040
2	−1.390	0.118	0.860	1.362	1.000	2	3.745	1.604	0.239	0.353	0.307
3	−2.126	−0.945	0.153	0.863	−0.012	3	3.825	2.103	1.169	0.842	0.896
4	−2.327	−1.027	−0.396	−0.151	−0.598	4	4.028	2.576	1.461	1.704	1.678
5(high beta)	−3.119	−2.203	−2.048	−1.449	−1.632	5(high beta)	4.300	2.985	2.746	2.493	2.637
(5)–(1)	0.081 (0.125)	−2.255*** (−3.558)	−3.646*** (−7.157)	−3.158*** (−4.862)	−2.551*** (−4.529)	(5)–(1)	0.780 (1.171)	1.961*** (3.590)	3.056*** (7.574)	2.830*** (6.246)	2.677*** (6.182)
B. B/P
1(low beta)	−1.618	0.079	−0.066	0.676	0.639	1(low beta)	1.354	0.592	1.102	0.975	0.974
2	−0.911	0.275	−0.008	0.432	1.179	2	1.348	1.492	1.493	0.805	1.592
3	−0.926	−0.380	−0.638	0.344	0.227	3	1.841	1.687	1.982	1.766	1.793
4	−1.818	−1.564	−0.836	−0.497	0.126	4	2.058	2.044	2.169	1.808	1.959
5(high beta)	−3.053	−2.477	−2.168	−1.649	−0.610	5(high beta)	3.306	2.900	2.764	2.570	2.597
(5)–(1)	−1.416** (−2.096)	−2.555*** (−4.053)	−2.103*** (−3.382)	−2.325*** (−3.807)	−1.249** (−1.879)	(5)–(1)	1.953*** (3.573)	2.309*** (4.641)	1.661*** (3.366)	1.595*** (3.145)	1.623*** (3.128)
C. Momentum
1(low beta)	−1.223	0.737	1.047	0.920	−1.559	1(low beta)	1.526	0.227	0.515	0.505	1.821
2	−0.927	0.352	0.756	1.005	−0.635	2	1.760	1.203	0.852	1.235	2.379
3	−1.183	−0.055	0.016	0.224	−0.566	3	1.986	1.536	1.379	1.606	2.390
4	−1.611	−0.210	−0.564	−0.355	−0.941	4	2.141	1.737	1.863	1.818	2.764
5(high beta)	−2.926	−1.191	−1.448	−1.407	−2.235	5(high beta)	3.061	2.282	2.516	2.836	3.644
(5)–(1)	−1.702*** (−2.649)	−1.928*** (−3.176)	−2.495*** (−4.102)	−2.327*** (−3.959)	−0.636 (−0.922)	(5)–(1)	1.536*** (2.611)	2.056*** (4.290)	2.000*** (4.416)	2.331*** (4.662)	1.823*** (3.393)
D. Volatility
1(low beta)	1.676	1.082	0.558	0.029	−5.276	1(low beta)	−0.504	0.408	0.997	1.638	4.723
2	1.732	0.910	0.532	−0.588	−3.457	2	−0.174	0.672	1.319	2.017	4.875
3	1.148	0.806	−0.131	−0.661	−2.912	3	0.092	0.812	1.437	2.205	3.969
4	1.059	0.213	−0.160	−1.236	−2.955	4	0.431	1.096	1.818	2.243	3.810
5(high beta)	0.431	−0.553	−0.930	−1.682	−3.656	5(high beta)	0.661	1.589	2.101	2.904	4.165
(5)–(1)	−1.245*** (−2.806)	−1.635*** (−3.085)	−1.461*** (−2.407)	−1.710*** (−2.501)	1.620** (2.112)	(5)–(1)	1.164*** (3.398)	1.181*** (2.870)	1.105** (2.297)	1.266*** (2.358)	−0.559 (−0.821)

Note:

Below is the average monthly return on the quintile portfolios of the major factors such as market capitalization, which is again divided into quintiles based on the beta of each quintile. Further, 226 data points from January 2001 to October 2019 are used, where beta is calculated using overnight return and the portfolio returns are the equal-weighted return of the individual’s stocks; ** and ***indicate 5% and 1% significance level

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