Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.1047    0.1604    0.1777    0.1138    0.1279    0.1424    0.1122    0.1588

  Columns 9 through 16

    0.1649    0.1021    0.1165    0.1246    0.1619    0.1680    0.1104    0.1426

  Columns 17 through 24

    0.1240    0.1052    0.0729    0.1521    0.2006    0.0886    0.1094    0.1487

  Columns 25 through 32

    0.1274    0.1229    0.1269    0.1309    0.1208    0.1549    0.0705    0.1102

  Columns 33 through 40

    0.2202    0.0737    0.1676    0.1175    0.1279    0.1421    0.1297    0.1305

  Columns 41 through 45

    0.1312    0.1199    0.1095    0.1036    0.0822

FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0245    0.0486    0.0211    0.0341
    7.1209    1.8768    1.1327    1.5384
    6.4526    1.8741    1.1319    1.5225

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.2082

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.0146    0.5936

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.1047    0.1604    0.1777    0.1138    0.1279    0.1424    0.1122    0.1588

  Columns 9 through 16

    0.1649    0.1021    0.1165    0.1246    0.1619    0.1680    0.1104    0.1426

  Columns 17 through 24

    0.1240    0.1052    0.0729    0.1521    0.2006    0.0886    0.1094    0.1487

  Columns 25 through 32

    0.1274    0.1229    0.1269    0.1309    0.1208    0.1549    0.0705    0.1102

  Columns 33 through 40

    0.2202    0.0737    0.1676    0.1175    0.1279    0.1421    0.1297    0.1305

  Columns 41 through 45

    0.1312    0.1199    0.1095    0.1036    0.0822

FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0196    0.0498    0.0225    0.0256   -0.0835
    5.9298    1.9257    1.2074    1.1636   -5.6129
    2.7157    1.8796    1.1916    1.0131   -2.8074

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.3656

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.0376    0.6725

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.1047    0.1604    0.1777    0.1138    0.1279    0.1424    0.1122    0.1588

  Columns 9 through 16

    0.1649    0.1021    0.1165    0.1246    0.1619    0.1680    0.1104    0.1426

  Columns 17 through 24

    0.1240    0.1052    0.0729    0.1521    0.2006    0.0886    0.1094    0.1487

  Columns 25 through 32

    0.1274    0.1229    0.1269    0.1309    0.1208    0.1549    0.0705    0.1102

  Columns 33 through 40

    0.2202    0.0737    0.1676    0.1175    0.1279    0.1421    0.1297    0.1305

  Columns 41 through 45

    0.1312    0.1199    0.1095    0.1036    0.0822

FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0131    0.0614    0.0219    0.0425    0.0986
    5.4748    2.3795    1.1758    1.9130    4.3645
    4.0734    2.3727    1.1726    1.8418    4.3505

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.5386

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.2857    0.7583

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.1047    0.1604    0.1777    0.1138    0.1279    0.1424    0.1122    0.1588

  Columns 9 through 16

    0.1649    0.1021    0.1165    0.1246    0.1619    0.1680    0.1104    0.1426

  Columns 17 through 24

    0.1240    0.1052    0.0729    0.1521    0.2006    0.0886    0.1094    0.1487

  Columns 25 through 32

    0.1274    0.1229    0.1269    0.1309    0.1208    0.1549    0.0705    0.1102

  Columns 33 through 40

    0.2202    0.0737    0.1676    0.1175    0.1279    0.1421    0.1297    0.1305

  Columns 41 through 45

    0.1312    0.1199    0.1095    0.1036    0.0822

FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0089    0.0597    0.0225    0.0193    0.0523    0.0294
    3.5523    2.3137    1.2097    0.8975    4.1057    1.8898
    2.5515    2.3041    1.2065    0.8812    3.9328    1.7945

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.4505

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.1704    0.7573

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.1047    0.1604    0.1777    0.1138    0.1279    0.1424    0.1122    0.1588

  Columns 9 through 16

    0.1649    0.1021    0.1165    0.1246    0.1619    0.1680    0.1104    0.1426

  Columns 17 through 24

    0.1240    0.1052    0.0729    0.1521    0.2006    0.0886    0.1094    0.1487

  Columns 25 through 32

    0.1274    0.1229    0.1269    0.1309    0.1208    0.1549    0.0705    0.1102

  Columns 33 through 40

    0.2202    0.0737    0.1676    0.1175    0.1279    0.1421    0.1297    0.1305

  Columns 41 through 45

    0.1312    0.1199    0.1095    0.1036    0.0822

FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0083    0.0597    0.0231    0.0185    0.0496    0.0330   -0.0455
    3.3139    2.3136    1.2403    0.8623    3.9222    2.1345   -3.1201
    2.0238    2.2964    1.2342    0.8357    3.6814    1.9702   -2.0468

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.4634

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.1968    0.7845

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.1047    0.1604    0.1777    0.1138    0.1279    0.1424    0.1122    0.1588

  Columns 9 through 16

    0.1649    0.1021    0.1165    0.1246    0.1619    0.1680    0.1104    0.1426

  Columns 17 through 24

    0.1240    0.1052    0.0729    0.1521    0.2006    0.0886    0.1094    0.1487

  Columns 25 through 32

    0.1274    0.1229    0.1269    0.1309    0.1208    0.1549    0.0705    0.1102

  Columns 33 through 40

    0.2202    0.0737    0.1676    0.1175    0.1279    0.1421    0.1297    0.1305

  Columns 41 through 45

    0.1312    0.1199    0.1095    0.1036    0.0822

FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0069    0.0635    0.0223    0.0300    0.0523    0.0239    0.0982
    3.5159    2.4625    1.2002    1.4036    4.1062    1.5431    4.3530
    2.3317    2.4523    1.1960    1.3799    3.8804    1.4459    4.3414

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.7055

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.4656    0.8428

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.1047    0.1604    0.1777    0.1138    0.1279    0.1424    0.1122    0.1588

  Columns 9 through 16

    0.1649    0.1021    0.1165    0.1246    0.1619    0.1680    0.1104    0.1426

  Columns 17 through 24

    0.1240    0.1052    0.0729    0.1521    0.2006    0.0886    0.1094    0.1487

  Columns 25 through 32

    0.1274    0.1229    0.1269    0.1309    0.1208    0.1549    0.0705    0.1102

  Columns 33 through 40

    0.2202    0.0737    0.1676    0.1175    0.1279    0.1421    0.1297    0.1305

  Columns 41 through 45

    0.1312    0.1199    0.1095    0.1036    0.0822

FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0066    0.0632    0.0234    0.0297    0.0470    0.0296    0.0970   -0.0741
    3.3078    2.4503    1.2558    1.3913    3.7263    1.9159    4.3025   -5.1421
    1.5148    2.4207    1.2422    1.3255    3.2912    1.6348    4.2739   -2.5880

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.7815

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.5237    0.8581

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.1047    0.1604    0.1777    0.1138    0.1279    0.1424    0.1122    0.1588

  Columns 9 through 16

    0.1649    0.1021    0.1165    0.1246    0.1619    0.1680    0.1104    0.1426

  Columns 17 through 24

    0.1240    0.1052    0.0729    0.1521    0.2006    0.0886    0.1094    0.1487

  Columns 25 through 32

    0.1274    0.1229    0.1269    0.1309    0.1208    0.1549    0.0705    0.1102

  Columns 33 through 40

    0.2202    0.0737    0.1676    0.1175    0.1279    0.1421    0.1297    0.1305

  Columns 41 through 45

    0.1312    0.1199    0.1095    0.1036    0.0822

FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0161    0.0543    0.0238    0.0252   -0.1393
    5.2153    2.0986    1.2757    1.1426   -6.1813
    2.1623    2.0398    1.2560    0.9644   -2.7898

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.4168

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.0467    0.6806

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.1047    0.1604    0.1777    0.1138    0.1279    0.1424    0.1122    0.1588

  Columns 9 through 16

    0.1649    0.1021    0.1165    0.1246    0.1619    0.1680    0.1104    0.1426

  Columns 17 through 24

    0.1240    0.1052    0.0729    0.1521    0.2006    0.0886    0.1094    0.1487

  Columns 25 through 32

    0.1274    0.1229    0.1269    0.1309    0.1208    0.1549    0.0705    0.1102

  Columns 33 through 40

    0.2202    0.0737    0.1676    0.1175    0.1279    0.1421    0.1297    0.1305

  Columns 41 through 45

    0.1312    0.1199    0.1095    0.1036    0.0822

FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0095    0.0625    0.0242    0.0329    0.0945   -0.1238
    4.1716    2.4234    1.3006    1.4967    4.1842   -5.6097
    1.8002    2.3862    1.2825    1.2860    4.1239   -2.6413

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.7125

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.3613    0.7963

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.1047    0.1604    0.1777    0.1138    0.1279    0.1424    0.1122    0.1588

  Columns 9 through 16

    0.1649    0.1021    0.1165    0.1246    0.1619    0.1680    0.1104    0.1426

  Columns 17 through 24

    0.1240    0.1052    0.0729    0.1521    0.2006    0.0886    0.1094    0.1487

  Columns 25 through 32

    0.1274    0.1229    0.1269    0.1309    0.1208    0.1549    0.0705    0.1102

  Columns 33 through 40

    0.2202    0.0737    0.1676    0.1175    0.1279    0.1421    0.1297    0.1305

  Columns 41 through 45

    0.1312    0.1199    0.1095    0.1036    0.0822

FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0071    0.0617    0.0236    0.0202    0.0497    0.0350   -0.0829
    2.9076    2.3913    1.2681    0.9385    3.9338    2.2838   -4.0997
    1.6415    2.3698    1.2609    0.9005    3.6334    2.0942   -2.5246

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.4700

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.1996    0.7793

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.1047    0.1604    0.1777    0.1138    0.1279    0.1424    0.1122    0.1588

  Columns 9 through 16

    0.1649    0.1021    0.1165    0.1246    0.1619    0.1680    0.1104    0.1426

  Columns 17 through 24

    0.1240    0.1052    0.0729    0.1521    0.2006    0.0886    0.1094    0.1487

  Columns 25 through 32

    0.1274    0.1229    0.1269    0.1309    0.1208    0.1549    0.0705    0.1102

  Columns 33 through 40

    0.2202    0.0737    0.1676    0.1175    0.1279    0.1421    0.1297    0.1305

  Columns 41 through 45

    0.1312    0.1199    0.1095    0.1036    0.0822

FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0058    0.0650    0.0235    0.0309    0.0491    0.0299    0.0967   -0.0876
    2.9606    2.5220    1.2654    1.4461    3.8950    1.9543    4.2912   -4.3151
    1.5375    2.5004    1.2562    1.3951    3.5418    1.7689    4.2703   -2.4594

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.7390

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.4923    0.8531

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.1047    0.1604    0.1777    0.1138    0.1279    0.1424    0.1122    0.1588

  Columns 9 through 16

    0.1649    0.1021    0.1165    0.1246    0.1619    0.1680    0.1104    0.1426

  Columns 17 through 24

    0.1240    0.1052    0.0729    0.1521    0.2006    0.0886    0.1094    0.1487

  Columns 25 through 32

    0.1274    0.1229    0.1269    0.1309    0.1208    0.1549    0.0705    0.1102

  Columns 33 through 40

    0.2202    0.0737    0.1676    0.1175    0.1279    0.1421    0.1297    0.1305

  Columns 41 through 45

    0.1312    0.1199    0.1095    0.1036    0.0822

FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0252    0.0488    0.0214    0.0324    0.0131
    7.1448    1.8838    1.1499    1.4580    1.7096
    5.8254    1.8776    1.1480    1.4232    1.4580

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.2048

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.0348    0.6275

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.1047    0.1604    0.1777    0.1138    0.1279    0.1424    0.1122    0.1588

  Columns 9 through 16

    0.1649    0.1021    0.1165    0.1246    0.1619    0.1680    0.1104    0.1426

  Columns 17 through 24

    0.1240    0.1052    0.0729    0.1521    0.2006    0.0886    0.1094    0.1487

  Columns 25 through 32

    0.1274    0.1229    0.1269    0.1309    0.1208    0.1549    0.0705    0.1102

  Columns 33 through 40

    0.2202    0.0737    0.1676    0.1175    0.1279    0.1421    0.1297    0.1305

  Columns 41 through 45

    0.1312    0.1199    0.1095    0.1036    0.0822

FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0134    0.0614    0.0220    0.0418    0.0983    0.0044
    5.3332    2.3793    1.1814    1.8805    4.3471    0.5774
    3.9384    2.3723    1.1782    1.8068    4.3302    0.4541

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.5297

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.2958    0.7685

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.1047    0.1604    0.1777    0.1138    0.1279    0.1424    0.1122    0.1588

  Columns 9 through 16

    0.1649    0.1021    0.1165    0.1246    0.1619    0.1680    0.1104    0.1426

  Columns 17 through 24

    0.1240    0.1052    0.0729    0.1521    0.2006    0.0886    0.1094    0.1487

  Columns 25 through 32

    0.1274    0.1229    0.1269    0.1309    0.1208    0.1549    0.0705    0.1102

  Columns 33 through 40

    0.2202    0.0737    0.1676    0.1175    0.1279    0.1421    0.1297    0.1305

  Columns 41 through 45

    0.1312    0.1199    0.1095    0.1036    0.0822

FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0086    0.0593    0.0222    0.0199    0.0534    0.0281   -0.0051
    3.4223    2.2958    1.1959    0.9228    4.2087    1.8165   -0.7204
    2.3992    2.2856    1.1928    0.9045    4.0328    1.7252   -0.5485

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.4414

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.2132    0.7733

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.1047    0.1604    0.1777    0.1138    0.1279    0.1424    0.1122    0.1588

  Columns 9 through 16

    0.1649    0.1021    0.1165    0.1246    0.1619    0.1680    0.1104    0.1426

  Columns 17 through 24

    0.1240    0.1052    0.0729    0.1521    0.2006    0.0886    0.1094    0.1487

  Columns 25 through 32

    0.1274    0.1229    0.1269    0.1309    0.1208    0.1549    0.0705    0.1102

  Columns 33 through 40

    0.2202    0.0737    0.1676    0.1175    0.1279    0.1421    0.1297    0.1305

  Columns 41 through 45

    0.1312    0.1199    0.1095    0.1036    0.0822

FM coefficients, t-stat, and Shanken adjusted t-stat: Intercept and factor risk premia

ans =

    0.0064    0.0626    0.0218    0.0314    0.0543    0.0211    0.0988   -0.0124
    3.1905    2.4282    1.1719    1.4683    4.2882    1.3736    4.3811   -1.7716
    1.9588    2.4157    1.1672    1.4382    4.0152    1.2771    4.3638   -1.2094

R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

gf =

    0.7132

The [5% 95%] interval of R-squared as in Lettau/Ludvigson (1999), Jagannathan/Wang (1996)

ans =

    0.4831    0.8481

