Souad AJILI - CEREG - Université Paris-Dauphine

Table 12.
Regressions for portfolios formed from sorts on size, book to market
and Mkt slopes: July 1980 to June 2001 (252 months)
Portfolios are formed based on size, book to market and preformation Mkt factor loadings.
We form 4 portfolios (LS, LB, HS, and HB) as the intersection of the two size and the two
book to market groups. The 4 portfolios are each subdivided onto 2 portfolios (low l and high
h)using pre-formation SMB slopes. Our version of characteristic-balanced (CB) portfolios is
simply the difference between the returns on the high and the low portfolio of each size-book
to market group. The mean returns of CB portfolios are given here. This table presents
also each of the coefficients estimates and t-statistics from the following time series regression:
R i − R f = α i + β i (R M − R f ) + s i SMB + h i HML + ɛ i .
Regression Results from Portfolios sorted by Mkt loading
Ptf. α β s h Adj. R 2
LSl
LSh
LBl
LBh
HSl
HSh
HBl
HBh
0.002 0.886 0.708 0.138 0.598
(0.798) (17.697) (9.169) (2.121)
-0.000 1.245 1.066 -0.675 0.633
(-0.056) (15.656) (8.700) (-6.512)
-0.000 0.911 -0.124 -0.118 0.858
(-0.302) (37.594) (-3.278) (-3.692)
-0.000 0.990 -0.076 -0.084 0.853
(-0.447) (37.328) (-1.858) (-2.409)
-0.000 0.920 0.977 0.673 0.774
(-0.097) (25.087) (17.114) (13.918)
-0.000 1.111 0.894 0.587 0.795
(-0.216) (28.856) (14.921) (11.565)
0.001 0.850 0.082 0.335 0.688
(0.794) (22.881) (1.431) (6.842)
-0.001 1.088 0.126 0.414 0.755
(-0.493) (27.172) (2.028) (7.840)
Mean and Regression Results from the CB Portfolios
Ptf. Mean α β s h Adj. R 2
LS(h-l)
LB(h-l)
HS(h-l)
HB(h-l)
0.000 -0.002 0.359 0.359 -0.813 0.250
(0.148) (-0.456) (3.684) (2.389) (-6.406)
0.000 -0.000 0.079 0.046 0.033 0.004
(0.308) (-0.110) (1.908) (0.727) (0.616)
0.001 -0.000 0.191 -0.082 -0.085 0.035
(0.390) (-0.077) (3.088) (-0.854) (-1.048)
-0.000 -0.002 0.238 0.043 0.078 0.063
(-0.043) (-0.908) (4.395) (0.517) (1.104)
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