Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.0100    0.0135    0.0147    0.0095    0.0102    0.0113    0.0139    0.0139

  Columns 9 through 16

    0.0104    0.0117    0.0100    0.0089    0.0103    0.0134    0.0140    0.0084

  Columns 17 through 24

    0.0095    0.0103    0.0078    0.0129    0.0163    0.0081    0.0092    0.0119

  Columns 25 through 32

    0.0107    0.0100    0.0101    0.0104    0.0101    0.0125    0.0064    0.0092

  Columns 33 through 40

    0.0181    0.0079    0.0143    0.0101    0.0105    0.0117    0.0106    0.0107

  Columns 41 through 45

    0.0107    0.0099    0.0092    0.0087    0.0073

Average portfolio returns predicted by the factor model

mean_port_ret_ff =

  Columns 1 through 8

    0.0117    0.0125    0.0139    0.0084    0.0105    0.0127    0.0133    0.0122

  Columns 9 through 16

    0.0125    0.0103    0.0094    0.0092    0.0128    0.0124    0.0127    0.0107

  Columns 17 through 24

    0.0097    0.0089    0.0143    0.0124    0.0120    0.0116    0.0097    0.0093

  Columns 25 through 32

    0.0098    0.0098    0.0089    0.0071    0.0121    0.0085    0.0102    0.0093

  Columns 33 through 40

    0.0133    0.0136    0.0133    0.0096    0.0093    0.0093    0.0094    0.0094

  Columns 41 through 48

    0.0092    0.0093    0.0094    0.0097    0.0104    0.0098    0.0065    0.0071

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

ans =

    0.0033    0.0029    0.0019    0.0021
    6.3794    1.4629    1.4744    1.5748
    6.3301    1.4621    1.4741    1.5732

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

gf =

    0.1919

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

ans =

    0.0159    0.5035

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.0100    0.0135    0.0147    0.0095    0.0102    0.0113    0.0139    0.0139

  Columns 9 through 16

    0.0104    0.0117    0.0100    0.0089    0.0103    0.0134    0.0140    0.0084

  Columns 17 through 24

    0.0095    0.0103    0.0078    0.0129    0.0163    0.0081    0.0092    0.0119

  Columns 25 through 32

    0.0107    0.0100    0.0101    0.0104    0.0101    0.0125    0.0064    0.0092

  Columns 33 through 40

    0.0181    0.0079    0.0143    0.0101    0.0105    0.0117    0.0106    0.0107

  Columns 41 through 45

    0.0107    0.0099    0.0092    0.0087    0.0073

Average portfolio returns predicted by the factor model

mean_port_ret_ff =

  Columns 1 through 8

    0.0110    0.0132    0.0143    0.0090    0.0113    0.0121    0.0139    0.0131

  Columns 9 through 16

    0.0112    0.0124    0.0102    0.0083    0.0117    0.0131    0.0136    0.0076

  Columns 17 through 24

    0.0095    0.0105    0.0085    0.0123    0.0141    0.0073    0.0098    0.0127

  Columns 25 through 32

    0.0097    0.0114    0.0079    0.0107    0.0114    0.0132    0.0047    0.0104

  Columns 33 through 40

    0.0160    0.0084    0.0138    0.0094    0.0104    0.0097    0.0113    0.0104

  Columns 41 through 48

    0.0107    0.0093    0.0092    0.0096    0.0087    0.0098    0.0065    0.0071

  Column 49

   -0.0044

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

ans =

    0.0000    0.0059    0.0029    0.0029   -0.0080
    0.1240    2.9908    2.1913    2.1550   -7.3203
    0.1084    2.9726    2.1863    2.1162   -7.0045

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

gf =

    0.9089

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

ans =

    0.7986    0.9217

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.0100    0.0135    0.0147    0.0095    0.0102    0.0113    0.0139    0.0139

  Columns 9 through 16

    0.0104    0.0117    0.0100    0.0089    0.0103    0.0134    0.0140    0.0084

  Columns 17 through 24

    0.0095    0.0103    0.0078    0.0129    0.0163    0.0081    0.0092    0.0119

  Columns 25 through 32

    0.0107    0.0100    0.0101    0.0104    0.0101    0.0125    0.0064    0.0092

  Columns 33 through 40

    0.0181    0.0079    0.0143    0.0101    0.0105    0.0117    0.0106    0.0107

  Columns 41 through 45

    0.0107    0.0099    0.0092    0.0087    0.0073

Average portfolio returns predicted by the factor model

mean_port_ret_ff =

  Columns 1 through 8

    0.0109    0.0132    0.0143    0.0090    0.0113    0.0121    0.0138    0.0131

  Columns 9 through 16

    0.0112    0.0124    0.0102    0.0083    0.0117    0.0131    0.0135    0.0076

  Columns 17 through 24

    0.0095    0.0105    0.0081    0.0123    0.0143    0.0068    0.0097    0.0129

  Columns 25 through 32

    0.0097    0.0114    0.0078    0.0107    0.0113    0.0132    0.0047    0.0103

  Columns 33 through 40

    0.0159    0.0083    0.0137    0.0094    0.0103    0.0097    0.0114    0.0104

  Columns 41 through 48

    0.0107    0.0093    0.0092    0.0096    0.0087    0.0098    0.0065    0.0071

  Columns 49 through 50

    0.0100   -0.0044

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

ans =

    0.0001    0.0059    0.0029    0.0029    0.0058   -0.0080
    0.5632    2.9944    2.1946    2.1629    3.0568   -8.0333
    0.4924    2.9888    2.1895    2.1316    3.0544   -7.8411

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

gf =

    0.9067

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

ans =

    0.8108    0.9263

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.0100    0.0135    0.0147    0.0095    0.0102    0.0113    0.0139    0.0139

  Columns 9 through 16

    0.0104    0.0117    0.0100    0.0089    0.0103    0.0134    0.0140    0.0084

  Columns 17 through 24

    0.0095    0.0103    0.0078    0.0129    0.0163    0.0081    0.0092    0.0119

  Columns 25 through 32

    0.0107    0.0100    0.0101    0.0104    0.0101    0.0125    0.0064    0.0092

  Columns 33 through 40

    0.0181    0.0079    0.0143    0.0101    0.0105    0.0117    0.0106    0.0107

  Columns 41 through 45

    0.0107    0.0099    0.0092    0.0087    0.0073

Average portfolio returns predicted by the factor model

mean_port_ret_ff =

  Columns 1 through 8

    0.0108    0.0131    0.0143    0.0090    0.0114    0.0120    0.0133    0.0130

  Columns 9 through 16

    0.0115    0.0123    0.0103    0.0079    0.0110    0.0134    0.0145    0.0080

  Columns 17 through 24

    0.0098    0.0101    0.0123    0.0131    0.0122    0.0106    0.0106    0.0101

  Columns 25 through 32

    0.0120    0.0113    0.0065    0.0094    0.0122    0.0092    0.0095    0.0107

  Columns 33 through 40

    0.0145    0.0120    0.0142    0.0074    0.0092    0.0094    0.0110    0.0105

  Columns 41 through 48

    0.0109    0.0098    0.0106    0.0109    0.0100    0.0098    0.0065    0.0071

  Columns 49 through 50

    0.0070    0.0066

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

ans =

    0.0009    0.0050    0.0027    0.0013    0.0039    0.0020
    3.7739    2.5527    2.0978    0.9576    4.1408    1.8548
    3.5462    2.5498    2.0966    0.9502    4.0895    1.8390

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

gf =

    0.5083

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

ans =

    0.2921    0.7215

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.0100    0.0135    0.0147    0.0095    0.0102    0.0113    0.0139    0.0139

  Columns 9 through 16

    0.0104    0.0117    0.0100    0.0089    0.0103    0.0134    0.0140    0.0084

  Columns 17 through 24

    0.0095    0.0103    0.0078    0.0129    0.0163    0.0081    0.0092    0.0119

  Columns 25 through 32

    0.0107    0.0100    0.0101    0.0104    0.0101    0.0125    0.0064    0.0092

  Columns 33 through 40

    0.0181    0.0079    0.0143    0.0101    0.0105    0.0117    0.0106    0.0107

  Columns 41 through 45

    0.0107    0.0099    0.0092    0.0087    0.0073

Average portfolio returns predicted by the factor model

mean_port_ret_ff =

  Columns 1 through 8

    0.0109    0.0132    0.0143    0.0091    0.0113    0.0121    0.0136    0.0132

  Columns 9 through 16

    0.0113    0.0123    0.0102    0.0085    0.0115    0.0131    0.0138    0.0073

  Columns 17 through 24

    0.0095    0.0106    0.0085    0.0124    0.0141    0.0073    0.0098    0.0127

  Columns 25 through 32

    0.0099    0.0114    0.0078    0.0107    0.0114    0.0133    0.0047    0.0104

  Columns 33 through 40

    0.0160    0.0083    0.0138    0.0094    0.0103    0.0096    0.0114    0.0104

  Columns 41 through 48

    0.0107    0.0094    0.0093    0.0097    0.0088    0.0098    0.0065    0.0071

  Columns 49 through 51

    0.0070    0.0066   -0.0044

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

ans =

    0.0002    0.0058    0.0028    0.0030    0.0028    0.0023   -0.0082
    1.0519    2.9401    2.1715    2.2850    3.0188    2.2363   -7.8059
    0.9164    2.9314    2.1687    2.2572    2.9557    2.1964   -7.5271

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

gf =

    0.9107

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

ans =

    0.8106    0.9302

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.0100    0.0135    0.0147    0.0095    0.0102    0.0113    0.0139    0.0139

  Columns 9 through 16

    0.0104    0.0117    0.0100    0.0089    0.0103    0.0134    0.0140    0.0084

  Columns 17 through 24

    0.0095    0.0103    0.0078    0.0129    0.0163    0.0081    0.0092    0.0119

  Columns 25 through 32

    0.0107    0.0100    0.0101    0.0104    0.0101    0.0125    0.0064    0.0092

  Columns 33 through 40

    0.0181    0.0079    0.0143    0.0101    0.0105    0.0117    0.0106    0.0107

  Columns 41 through 45

    0.0107    0.0099    0.0092    0.0087    0.0073

Average portfolio returns predicted by the factor model

mean_port_ret_ff =

  Columns 1 through 8

    0.0106    0.0130    0.0143    0.0090    0.0113    0.0118    0.0133    0.0130

  Columns 9 through 16

    0.0113    0.0121    0.0103    0.0079    0.0110    0.0133    0.0142    0.0078

  Columns 17 through 24

    0.0096    0.0102    0.0082    0.0124    0.0141    0.0062    0.0099    0.0126

  Columns 25 through 32

    0.0116    0.0115    0.0061    0.0095    0.0119    0.0097    0.0089    0.0105

  Columns 33 through 40

    0.0138    0.0105    0.0134    0.0074    0.0088    0.0096    0.0111    0.0102

  Columns 41 through 48

    0.0108    0.0097    0.0102    0.0106    0.0095    0.0098    0.0065    0.0071

  Columns 49 through 51

    0.0070    0.0066    0.0100

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

ans =

    0.0006    0.0056    0.0027    0.0025    0.0030    0.0018    0.0060
    2.9509    2.8603    2.0942    1.8840    3.3106    1.7118    3.1929
    2.7959    2.8587    2.0932    1.8766    3.2864    1.6995    3.1920

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

gf =

    0.6366

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

ans =

    0.4638    0.7975

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.0100    0.0135    0.0147    0.0095    0.0102    0.0113    0.0139    0.0139

  Columns 9 through 16

    0.0104    0.0117    0.0100    0.0089    0.0103    0.0134    0.0140    0.0084

  Columns 17 through 24

    0.0095    0.0103    0.0078    0.0129    0.0163    0.0081    0.0092    0.0119

  Columns 25 through 32

    0.0107    0.0100    0.0101    0.0104    0.0101    0.0125    0.0064    0.0092

  Columns 33 through 40

    0.0181    0.0079    0.0143    0.0101    0.0105    0.0117    0.0106    0.0107

  Columns 41 through 45

    0.0107    0.0099    0.0092    0.0087    0.0073

Average portfolio returns predicted by the factor model

mean_port_ret_ff =

  Columns 1 through 8

    0.0109    0.0132    0.0143    0.0091    0.0113    0.0121    0.0136    0.0132

  Columns 9 through 16

    0.0112    0.0123    0.0102    0.0084    0.0115    0.0131    0.0138    0.0073

  Columns 17 through 24

    0.0094    0.0106    0.0081    0.0123    0.0143    0.0069    0.0098    0.0130

  Columns 25 through 32

    0.0099    0.0114    0.0077    0.0107    0.0114    0.0133    0.0047    0.0103

  Columns 33 through 40

    0.0159    0.0082    0.0137    0.0093    0.0102    0.0097    0.0114    0.0104

  Columns 41 through 48

    0.0107    0.0094    0.0093    0.0097    0.0087    0.0098    0.0065    0.0071

  Columns 49 through 52

    0.0070    0.0066    0.0100   -0.0044

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

ans =

    0.0003    0.0057    0.0028    0.0030    0.0027    0.0023    0.0057   -0.0082
    1.5673    2.9343    2.1732    2.2879    3.0302    2.2397    3.0269   -8.6745
    1.3644    2.9300    2.1703    2.2653    2.9721    2.2016    3.0244   -8.5844

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

gf =

    0.9089

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

ans =

    0.8255    0.9348

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.0100    0.0135    0.0147    0.0095    0.0102    0.0113    0.0139    0.0139

  Columns 9 through 16

    0.0104    0.0117    0.0100    0.0089    0.0103    0.0134    0.0140    0.0084

  Columns 17 through 24

    0.0095    0.0103    0.0078    0.0129    0.0163    0.0081    0.0092    0.0119

  Columns 25 through 32

    0.0107    0.0100    0.0101    0.0104    0.0101    0.0125    0.0064    0.0092

  Columns 33 through 40

    0.0181    0.0079    0.0143    0.0101    0.0105    0.0117    0.0106    0.0107

  Columns 41 through 45

    0.0107    0.0099    0.0092    0.0087    0.0073

Average portfolio returns predicted by the factor model

mean_port_ret_ff =

  Columns 1 through 8

    0.0117    0.0125    0.0139    0.0084    0.0105    0.0127    0.0132    0.0122

  Columns 9 through 16

    0.0125    0.0103    0.0094    0.0093    0.0128    0.0124    0.0128    0.0107

  Columns 17 through 24

    0.0098    0.0089    0.0141    0.0124    0.0121    0.0114    0.0096    0.0094

  Columns 25 through 32

    0.0098    0.0099    0.0088    0.0072    0.0121    0.0085    0.0101    0.0093

  Columns 33 through 40

    0.0133    0.0135    0.0133    0.0095    0.0093    0.0093    0.0094    0.0094

  Columns 41 through 48

    0.0093    0.0093    0.0094    0.0097    0.0104    0.0098    0.0065    0.0071

  Column 49

    0.0021

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

ans =

    0.0019    0.0043    0.0020    0.0025   -0.0018
    5.6334    2.1863    1.5134    1.8617   -0.7484
    5.5645    2.1855    1.5130    1.8587   -0.7481

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

gf =

    0.3298

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

ans =

    0.0846    0.6213

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.0100    0.0135    0.0147    0.0095    0.0102    0.0113    0.0139    0.0139

  Columns 9 through 16

    0.0104    0.0117    0.0100    0.0089    0.0103    0.0134    0.0140    0.0084

  Columns 17 through 24

    0.0095    0.0103    0.0078    0.0129    0.0163    0.0081    0.0092    0.0119

  Columns 25 through 32

    0.0107    0.0100    0.0101    0.0104    0.0101    0.0125    0.0064    0.0092

  Columns 33 through 40

    0.0181    0.0079    0.0143    0.0101    0.0105    0.0117    0.0106    0.0107

  Columns 41 through 45

    0.0107    0.0099    0.0092    0.0087    0.0073

Average portfolio returns predicted by the factor model

mean_port_ret_ff =

  Columns 1 through 8

    0.0114    0.0125    0.0139    0.0084    0.0104    0.0124    0.0133    0.0123

  Columns 9 through 16

    0.0122    0.0103    0.0097    0.0089    0.0126    0.0124    0.0125    0.0102

  Columns 17 through 24

    0.0095    0.0091    0.0089    0.0116    0.0145    0.0058    0.0089    0.0125

  Columns 25 through 32

    0.0095    0.0102    0.0081    0.0075    0.0116    0.0093    0.0093    0.0092

  Columns 33 through 40

    0.0125    0.0115    0.0123    0.0093    0.0088    0.0095    0.0098    0.0092

  Columns 41 through 48

    0.0094    0.0092    0.0090    0.0094    0.0097    0.0098    0.0065    0.0071

  Columns 49 through 50

    0.0100    0.0021

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

ans =

    0.0008    0.0056    0.0023    0.0036    0.0062   -0.0026
    3.6289    2.8650    1.7350    2.6951    3.2906   -1.0911
    3.4808    2.8633    1.7335    2.6817    3.2898   -1.0902

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

gf =

    0.5981

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

ans =

    0.4058    0.7683

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.0100    0.0135    0.0147    0.0095    0.0102    0.0113    0.0139    0.0139

  Columns 9 through 16

    0.0104    0.0117    0.0100    0.0089    0.0103    0.0134    0.0140    0.0084

  Columns 17 through 24

    0.0095    0.0103    0.0078    0.0129    0.0163    0.0081    0.0092    0.0119

  Columns 25 through 32

    0.0107    0.0100    0.0101    0.0104    0.0101    0.0125    0.0064    0.0092

  Columns 33 through 40

    0.0181    0.0079    0.0143    0.0101    0.0105    0.0117    0.0106    0.0107

  Columns 41 through 45

    0.0107    0.0099    0.0092    0.0087    0.0073

Average portfolio returns predicted by the factor model

mean_port_ret_ff =

  Columns 1 through 8

    0.0108    0.0131    0.0143    0.0090    0.0114    0.0120    0.0133    0.0130

  Columns 9 through 16

    0.0115    0.0123    0.0103    0.0079    0.0110    0.0134    0.0145    0.0080

  Columns 17 through 24

    0.0098    0.0101    0.0123    0.0131    0.0122    0.0106    0.0106    0.0101

  Columns 25 through 32

    0.0120    0.0113    0.0065    0.0094    0.0122    0.0092    0.0095    0.0107

  Columns 33 through 40

    0.0145    0.0120    0.0142    0.0074    0.0092    0.0094    0.0110    0.0105

  Columns 41 through 48

    0.0109    0.0098    0.0106    0.0109    0.0100    0.0098    0.0065    0.0071

  Columns 49 through 51

    0.0070    0.0066    0.0021

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

ans =

    0.0006    0.0052    0.0027    0.0014    0.0040    0.0020   -0.0018
    2.5027    2.6765    2.1071    1.0161    4.2028    1.8786   -0.7423
    2.3462    2.6737    2.1059    1.0085    4.1475    1.8621   -0.7407

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

gf =

    0.5871

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

ans =

    0.3467    0.7806

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.0100    0.0135    0.0147    0.0095    0.0102    0.0113    0.0139    0.0139

  Columns 9 through 16

    0.0104    0.0117    0.0100    0.0089    0.0103    0.0134    0.0140    0.0084

  Columns 17 through 24

    0.0095    0.0103    0.0078    0.0129    0.0163    0.0081    0.0092    0.0119

  Columns 25 through 32

    0.0107    0.0100    0.0101    0.0104    0.0101    0.0125    0.0064    0.0092

  Columns 33 through 40

    0.0181    0.0079    0.0143    0.0101    0.0105    0.0117    0.0106    0.0107

  Columns 41 through 45

    0.0107    0.0099    0.0092    0.0087    0.0073

Average portfolio returns predicted by the factor model

mean_port_ret_ff =

  Columns 1 through 8

    0.0106    0.0130    0.0143    0.0090    0.0113    0.0118    0.0133    0.0130

  Columns 9 through 16

    0.0113    0.0121    0.0104    0.0078    0.0110    0.0133    0.0141    0.0078

  Columns 17 through 24

    0.0096    0.0102    0.0082    0.0124    0.0141    0.0061    0.0099    0.0126

  Columns 25 through 32

    0.0116    0.0115    0.0062    0.0095    0.0118    0.0097    0.0089    0.0105

  Columns 33 through 40

    0.0138    0.0105    0.0134    0.0075    0.0088    0.0096    0.0111    0.0103

  Columns 41 through 48

    0.0108    0.0097    0.0102    0.0105    0.0095    0.0098    0.0065    0.0071

  Columns 49 through 52

    0.0070    0.0066    0.0100    0.0021

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

ans =

    0.0007    0.0055    0.0027    0.0024    0.0030    0.0018    0.0060   -0.0028
    3.1555    2.8010    2.0929    1.8765    3.2911    1.7288    3.1825   -1.1711
    2.9889    2.7991    2.0919    1.8691    3.2667    1.7164    3.1816   -1.1701

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

gf =

    0.7019

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

ans =

    0.5242    0.8424

