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You should come up with some relationship you want to explore. For example maybe you think that the t+1 observation depends linearly in some way on the last (t) observation. Then you would regress the t+1 observation on the t observation and examine the fit. Maybe you think that the sum of the last 5 observations has a relationship to the t+1 observation. ...


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First, you are right that monthly return data is used. Table 1 concludes, that a one unit increase of gross profitability accounts for an additional 0.75% stock return per month after controlling for book-to-market ratio, size, stock reversal ($r_{1,0}$) and momentum ($r_{12,2}$). Table A2 is based on the following statement on p.17: Table A2 shows ...


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