23 027 031 012 007 006 003 006 012 006 009 021 022

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Unformatted text preview: 0.12 -0.07 0.06 0.03 -0.06 0.12 0.06 0.09 0.21 0.22 0.14 -0.01 -1.02 1.05 0.66 -0.88 1.58 0.69 0.96 2.04 1.68 0.83 -0.10 1.01 0.98 0.95 1.06 0.98 1.07 1.13 1.13 1.31 1.42 0.14 46.07 46.88 38.76 23.61 28.29 19.17 16.91 16.61 14.22 14.38 1.81 Low 2 3 4 5 6 7 8 9 High HML 0.11 0.12 0.11 0.11 0.13 0.12 0.13 0.16 0.17 0.16 0.04 0.30 0.30 0.29 0.35 0.33 0.37 0.41 0.42 0.51 0.58 0.20 -0.01 0.09 0.05 -0.16 0.15 -0.09 -0.11 0.09 0.05 -0.18 -0.04 -0.10 1.09 0.77 -1.86 1.48 -0.66 -0.85 0.61 0.22 -0.67 -0.24 0.96 0.96 0.91 1.10 1.02 1.16 1.27 1.28 1.53 1.66 0.35 43.21 37.15 31.76 19.67 24.52 17.25 18.63 18.01 16.27 15.30 4.64 Panel B: 10 BE/ME deciles – Jan. 1927: Dec. 1963 M σ α tα β tβ Panel C: 10 BE/ME deciles – Jan. 1964: Dec. 2001 Low m σ α tα β tβ 2 3 4 5 6 7 8 9 High HML 0.11 0.12 0.12 0.12 0.12 0.14 0.14 0.15 0.16 0.17 0.05 0.25 0.22 0.22 0.22 0.21 0.21 0.20 0.20 0.22 0.25 0.14 -0.14 0.02 0.01 0.03 0.09 0.21 0.31 0.35 0.41 0.47 0.04 -1.29 0.34 0.15 0.27 0.89 2.22 2.44 2.79 3.10 2.75 0.24 1.11 1.02 1.02 0.97 0.89 0.89 0.84 0.83 0.87 0.95 -0.28 42.07 42.82 41.71 26.50 25.44 28.28 20.14 20.76 17.50 17.10 -6.02 7-21 Are the CAPM parameters on the B/M deciles stable over time? Panel 1: 10 BE/ME deciles – Jan. 1927: Dec. 1944 m σ α tα β tβ Low 0.08 2 0.11 3 0.09 4 0.09 5 0.10 6 0.09 7 0.13 8 0.13 9 0.19 High 0.16 HML 0.05 0.56 0.56 0.53 0.67 0.62 0.72 0.80 0.81 1.00 1.13 0.38 -0.01 0.20 0.10 -0.09 0.05 -0.15 0.11 0.12 0.44 0.11 0.04 -0.10 1.39 0.90 -0.56 0.27 -0.66 0.44 0.46 1.10 0.21 0.13 0.94 0.95 0.90 1.14 1.05 1.19 1.32 1.32 1.63 1.73 0.40 40.25 31.26 27.17 18.70 23.75 15.83 18.32 16.65 16.44 14.18 4.75 Low 0.14 2 0.13 3 0.13 4 0.12 5 0.17 6 0.15 High 0.16 HML 0.04 Panel 2: 10 BE/ME deciles – Jan. 1945: Dec. 1963 m σ α tα β tβ 7 0.13 8 0.18 9 0.16 0.27 0.25 0.25 0.24 0.23 0.25 0.27 0.29 0.30 0.38 0.14 -0.09 -0.05 -0.04 -0.08 0.39 0.14 -0.10 0.23 0.08 -0.13 0.10 -0.90 -0.73 -0.56 -1.16 4.53 1.75 -0.95 1.71 0.61 -0.59 0.63 1.07 0.99 0.96 0.94 0.85 0.98 1...
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This document was uploaded on 02/27/2014 for the course FIN Derivative at San Diego State.

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