Table 7 FM regressions on individual...

Table 7

FM regressions on individual stocks

Regressors	Models
Regressors	1	2	3	4	5	6	7
Constant	0.12 (1.10)	0.10 (3.66)^*	0.12 (0.83)	0.11 (1.16)	0.13 (0.80)	0.22 (0.81)	0.22 (0.82)
$E_{t} [{I E}_{i, t + T}]$	−0.40 (−5.22)^*				−0.38 (−4.98)^*	−0.36 (−5.25)^*	−0.30 (−4.42)^*
${I S}_{i, t}$		−1.20 (−7.96)^*			−1.15 (−7.66)^*		−0.88 (−9.88)^*
${I V}_{i, t}$			−0.30 (−3.71)^*		−0.12 (−3.00)^*		−0.44 (−4.32)^*
${I K}_{i, t}$				3.44 (11.08)^*	3.26 (10.79)^*		2.80 (11.99)^*
${M K T}_{i, t}$						−0.096 (−2.42)^*	−0.098 (−2.34)^*
${S M B}_{i, t}$						0.07 (3.66)^*	0.027 (1.89)
${H M L}_{i, t}$						−0.16 (−3.62)^*	−0.13 (−3.45)^*
${M O M}_{i, t}$						−0.006 (−2.24)^**	−0.005 (−1.98)^**
${C o s k e w}_{i, t}$						−0.13 (−3.93)^*	−0.11 (−3.77)^*
${L I Q}_{i, t}$						−0.91 (−5.32)^*	−0.86 (−5.04)^*
${MAX}_{p, t}$						−0.07 (−3.42)^*	−0.067 (−3.74)^*
${MIN}_{p, t}$						−0.01 (−1.33)	−0.009 (−1.12)
$χ^{2}$	515.10 [0.00]	577.22 [0.00]	126.22 [0.00]	98.24 [0.00]	600.25 [0.00]	766.08 [0.00]	892.14 [0.00]
Pricing error	0.0079	0.0069	0.029	0.039	0.0065	0.0054	0.004
Adj $R^{2}$	0.09	0.15	0.070	0.052	0.22	0.35	0.43

Regressors	Models
Regressors	1	2	3	4	5	6	7
Constant	0.12 (1.10)	0.10 (3.66)^*	0.12 (0.83)	0.11 (1.16)	0.13 (0.80)	0.22 (0.81)	0.22 (0.82)
$E_{t} [{I E}_{i, t + T}]$	−0.40 (−5.22)^*				−0.38 (−4.98)^*	−0.36 (−5.25)^*	−0.30 (−4.42)^*
${I S}_{i, t}$		−1.20 (−7.96)^*			−1.15 (−7.66)^*		−0.88 (−9.88)^*
${I V}_{i, t}$			−0.30 (−3.71)^*		−0.12 (−3.00)^*		−0.44 (−4.32)^*
${I K}_{i, t}$				3.44 (11.08)^*	3.26 (10.79)^*		2.80 (11.99)^*
${M K T}_{i, t}$						−0.096 (−2.42)^*	−0.098 (−2.34)^*
${S M B}_{i, t}$						0.07 (3.66)^*	0.027 (1.89)
${H M L}_{i, t}$						−0.16 (−3.62)^*	−0.13 (−3.45)^*
${M O M}_{i, t}$						−0.006 (−2.24)^**	−0.005 (−1.98)^**
${C o s k e w}_{i, t}$						−0.13 (−3.93)^*	−0.11 (−3.77)^*
${L I Q}_{i, t}$						−0.91 (−5.32)^*	−0.86 (−5.04)^*
${MAX}_{p, t}$						−0.07 (−3.42)^*	−0.067 (−3.74)^*
${MIN}_{p, t}$						−0.01 (−1.33)	−0.009 (−1.12)
$χ^{2}$	515.10 [0.00]	577.22 [0.00]	126.22 [0.00]	98.24 [0.00]	600.25 [0.00]	766.08 [0.00]	892.14 [0.00]
Pricing error	0.0079	0.0069	0.029	0.039	0.0065	0.0054	0.004
Adj $R^{2}$	0.09	0.15	0.070	0.052	0.22	0.35	0.43

Note(s): This table displays the results of the Fama and MacBeth (1973) regressions, including their average coefficients as per Equation (18). These regressions are performed at the end of each month for the period from January 1988 to June 2019, using our sample. The measures $E_{t} [{I E}_{i, t + 1}]$ are computed according to Equations (11) and (12) and are based on a 60-day formation period. For estimating $E_{t} [{I E}_{i, t + 1}]$ ⁠, we use the risk factors from Model 6 in Table 2. All risk factors are detailed in Table 2, with portfolio characteristics being the value-weighted averages of firm-level data, calculated using daily information from the 59th day before the end of month t to the end of day t. The table includes average coefficients and Newey and West (1987) t-statistics (shown in parentheses), as well as average adjusted R-squared values. The symbols * and ** represent statistical significance at the 1% and 5% levels, respectively. The Fama-MacBeth t-statistics and the results of the $χ^{2}$ test are indicated in parentheses and brackets, respectively

Source(s): Created by the author

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