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 =

    0.0158    0.0550    0.0215    0.0332    0.0592    0.0194   -0.1115
    4.0955    2.1120    1.1240    2.1786    4.0006    2.2485   -5.2082
    1.9250    2.0254    1.0671    1.4385    3.0707    1.1637   -2.6755

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

gf =

    0.5316

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

ans =

    0.1902    0.8027

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 =

    0.0158    0.0550    0.0215    0.0332    0.0592   -0.0735   -0.0395
    4.0954    2.1121    1.1240    2.1785    4.0008   -4.9527   -3.5485
    1.9248    2.0254    1.0671    1.4384    3.0708   -2.5396   -1.8335

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

gf =

    0.5316

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

ans =

    0.1903    0.8027

