Table 1.
Summary statistics.
Table 2.
Correlations.
Table 3.
Predictive power analysis for the CCI.
Table 4.
Regression results for 25 portfolios size-BE/ME.
Table 5.
Regression results for 20 momentum portfolios.
Table 6.
Regression results for 25 portfolios P/CF-DY.
Fig 1.
Realized excess returns versus fitted values for 25 portfolios size-BE/ME.
The figure depicts 25 portfolios size-BE/ME using a code with two numbers, the first number being the size code (with 1 being the smallest and 5 the largest) and the second number being the BE/ME ratio code (with 1 representing a low ratio and 5 a high ratio). The closer the portfolios are to the 45 degrees axis, the better the fit produced by the model.
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.
Fig 3.
Realized excess returns versus fitted values for 25 portfolios P/CF-DY.
The figure depicts 25 portfolios P/CF-DY using a code with two numbers, the first number being the P/CF ratio code (with 1 representing a low ratio and 5 a high ratio) and the second number being the DY code (with 1 representing a low ratio and 5 a high ratio). The closer the portfolios are to the 45 degrees axis, the better the fit produced by the model.