Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models
Fig 2
Realized excess returns versus fitted values for 20 momentum portfolios.
The figure depicts 20 momentum portfolios using a number from 1 to 20. Stocks with the lowest past one-year return comprise portfolio 1 and stocks with the highest past one-year return comprise portfolio 20. The closer the portfolios are to the 45 degrees axis, the better the fit produced by the model.