This table reports the average slope coefficients from Fama-MacBeth regressions of excess monthly stock returns in month t+1 on a set of sort variables including market beta (MKT), natural log of market capitalization (SIZE), natural log of book-to-market equity ratio (BM), and momentum (MOM, defined as the cumulative stock returns over the past 12 months skipping the most recent month) in month t. The sample period is July 1963December 2018. Further note that the average standard deviation of momentum is 54.38% during the sample period. What do you learn about the relation between mometum and future stock returns from the results? How do you interpret the average slope coefficient of momentum (i.e., its economic significance).

Interpret FM Results document

The numbers in the table are as follows:

mkt. =0.1280

(1.34)

SIZE = -0.1268

(-4.71)

BM= 0.0959

(1.60)

MOM= 0.0045

(3.69)

N= 2,334

Adj. R^2. 0.05