Table 5.
Z-score analysis of excess returns for the full sample, 2002–2019, 2007–2019 and 2012–2019 subperiods.
| 1991–2019 | 1991–2001 | 2002–2019 | 1991–2006 | 2007–2019 | 1991–2011 | 2012–2019 | ||
|---|---|---|---|---|---|---|---|---|
| Z_BTM | 0.0299∗∗∗ | 0.0320∗∗∗ | 0.0243∗∗∗ | 0.0416∗∗∗ | 0.0338∗∗∗ | 0.0368∗∗∗ | 0.0383∗∗∗ | 0.0192∗∗∗ |
| (0.001) | (0.001) | (0.002) | (0.001) | (0.001) | (0.001) | (0.001) | (0.001) | |
| Z_PER | -0.0258∗∗∗ | -0.0230∗∗∗ | -0.0325∗∗∗ | -0.0096∗∗∗ | -0.0366∗∗∗ | -0.0008 | -0.0269∗∗∗ | -0.0089∗∗∗ |
| (0.001) | (0.001) | (0.002) | (0.001) | (0.001) | (0.001) | (0.001) | (0.001) | |
| Z_EVEBIT | -0.0021∗∗∗ | -0.0047∗∗∗ | -0.0130∗∗∗ | -0.0108∗∗∗ | -0.002 | 0.0121∗∗∗ | 0.0002 | -0.0014 |
| (0.001) | (0.001) | (0.002) | (0.001) | (0.002) | (0.001) | (0.001) | (0.001) | |
| Z_EVEBITDA | -0.0079∗∗∗ | -0.0067∗∗∗ | 0.0331∗∗∗ | -0.0211∗∗∗ | 0.0183∗∗∗ | -0.0191∗∗∗ | 0.0094∗∗∗ | -0.0063∗∗∗ |
| (0.001) | (0.001) | (0.002) | (0.001) | (0.002) | (0.001) | (0.001) | (0.001) | |
| Z_GPA | 0.0468∗∗∗ | 0.0478∗∗∗ | 0.0906∗∗∗ | 0.0310∗∗∗ | 0.0664∗∗∗ | 0.0299∗∗∗ | 0.0567∗∗∗ | 0.0200∗∗∗ |
| (0.001) | (0.001) | (0.003) | (0.001) | (0.002) | (0.001) | (0.002) | (0.001) | |
| Z_ROC_Green | -0.0081∗∗∗ | -0.0082∗∗∗ | -0.0955∗∗∗ | 0.0117∗∗∗ | -0.0287∗∗∗ | 0.0068∗∗∗ | -0.0096∗∗∗ | 0.0025∗∗∗ |
| (0.001) | (0.001) | (0.004) | (0.000) | (0.002) | (0.000) | (0.001) | (0.000) | |
| Z_ROC_Det | -0.0035∗∗∗ | -0.0035∗∗∗ | 0.0348∗∗∗ | -0.0063∗∗∗ | 0.0024 | -0.0041∗∗∗ | 0.0113∗∗∗ | -0.0037∗∗∗ |
| (0.001) | (0.001) | (0.004) | (0.000) | (0.002) | (0.000) | (0.001) | (0.000) | |
| Z_MOM | 0.0258∗∗∗ | 0.0267∗∗∗ | 0.0561∗∗∗ | 0.0061∗∗∗ | 0.0383∗∗∗ | 0.0155∗∗∗ | 0.0270∗∗∗ | 0.0291∗∗∗ |
| (0.001) | (0.001) | (0.002) | (0.001) | (0.001) | (0.000) | (0.001) | (0.000) | |
| SMB | 0.0122 | 0.417∗∗∗ | 0.0917∗∗∗ | 0.0573∗∗ | 0.230∗∗∗ | 0.0409∗ | 0.0909∗∗∗ | |
| (0.015) | (0.025) | (0.017) | (0.018) | (0.018) | (0.017) | (0.023) | ||
| HML | -2.052∗∗∗ | -3.247∗∗∗ | -0.0598∗∗∗ | -3.134∗∗∗ | -0.150∗ | -2.547∗∗∗ | -0.147∗ | |
| (0.107) | (0.147) | (0.005) | (0.139) | (0.065) | (0.124) | (0.062) | ||
| RMW | 0.0530 | 1.508∗∗∗ | -0.350∗∗∗ | 1.232∗∗∗ | 0.224∗∗∗ | 0.526∗∗∗ | -0.137∗∗ | |
| (0.058) | (0.085) | (0.069) | (0.093) | (0.053) | (0.070) | (0.048) | ||
| R_BMK-RF | 1.110∗∗∗ | 1.120∗∗∗ | 1.173∗∗∗ | 1.052∗∗∗ | 1.144∗∗∗ | 1.055∗∗∗ | 1.141∗∗∗ | 1.024∗∗∗ |
| (0.002) | (0.003) | (0.005) | (0.002) | (0.004) | (0.002) | (0.003) | (0.002) | |
| Alpha | 0.0277∗∗∗ | 0.0316∗∗∗ | 0.0620∗∗∗ | 0.0203∗∗∗ | 0.0559∗∗∗ | 0.0151∗∗∗ | 0.0405∗∗∗ | 0.0172∗∗∗ |
| (0.000) | (0.000) | (0.001) | (0.001) | (0.001) | (0.000) | (0.001) | (0.000) | |
Clustered robust standard errors in parenthesis. ∗ Significant at 95%, ∗∗ significant at 99%, ∗∗∗ significant at 99.9%
This exhibit illustrates the impact of different factors on annualized monthly portfolio excess returns over different time windows. Portfolios are built iteratively for each feasible combination of metrics. Model coefficients were estimated using a GLS-Random effects estimator. Company accounting data and Absolute Returns underlying portfolio construction come from the FactSet database. Fama and French smb, hml and rmw factors obtained in Kenneth French website: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html