<a href="matlab: opentoline('D:\SAS\TFP\Dispersion_replication\Table4\4.FMRegression_HXZ.m',38,1)">File: 4.FMRegression_HXZ.m Line: 38 Column: 1</a>
Invalid use of operator.

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    0.0125    0.0135    0.0093    0.0113    0.0117    0.0124    0.0127

  Columns 9 through 16

    0.0110    0.0121    0.0104    0.0082    0.0104    0.0130    0.0140    0.0085

  Columns 17 through 24

    0.0098    0.0101    0.0085    0.0123    0.0132    0.0080    0.0105    0.0120

  Columns 25 through 32

    0.0117    0.0113    0.0052    0.0106    0.0130    0.0091    0.0086    0.0106

  Columns 33 through 40

    0.0139    0.0098    0.0132    0.0063    0.0086    0.0090    0.0107    0.0099

  Columns 41 through 48

    0.0111    0.0103    0.0103    0.0113    0.0096    0.0098    0.0069    0.0078

  Column 49

    0.0094

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

ans =

    0.0011    0.0050    0.0035    0.0029    0.0045
    2.9559    2.5068    2.5534    2.7560    3.3693
    2.8069    2.5017    2.5471    2.7047    3.3209

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

gf =

    0.5102

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

ans =

    0.2997    0.7093

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    0.0126    0.0134    0.0094    0.0113    0.0116    0.0129    0.0127

  Columns 9 through 16

    0.0106    0.0123    0.0104    0.0084    0.0107    0.0127    0.0133    0.0073

  Columns 17 through 24

    0.0095    0.0107    0.0064    0.0118    0.0142    0.0062    0.0099    0.0135

  Columns 25 through 32

    0.0102    0.0114    0.0071    0.0117    0.0116    0.0131    0.0046    0.0105

  Columns 33 through 40

    0.0153    0.0073    0.0131    0.0083    0.0099    0.0095    0.0113    0.0103

  Columns 41 through 48

    0.0110    0.0097    0.0094    0.0101    0.0088    0.0098    0.0069    0.0078

  Columns 49 through 50

    0.0094   -0.0044

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

ans =

    0.0004    0.0056    0.0036    0.0036    0.0036   -0.0081
    1.5332    2.8518    2.6470    3.5973    2.7592   -8.0917
    1.3372    2.8391    2.6292    3.4358    2.6610   -7.8867

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

gf =

    0.8927

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

ans =

    0.7872    0.9159

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

    0.0103    0.0126    0.0135    0.0094    0.0114    0.0118    0.0123    0.0127

  Columns 9 through 16

    0.0109    0.0121    0.0106    0.0081    0.0101    0.0131    0.0140    0.0084

  Columns 17 through 24

    0.0097    0.0102    0.0085    0.0125    0.0130    0.0081    0.0106    0.0118

  Columns 25 through 32

    0.0120    0.0114    0.0053    0.0106    0.0131    0.0092    0.0085    0.0107

  Columns 33 through 40

    0.0139    0.0097    0.0133    0.0062    0.0086    0.0089    0.0108    0.0101

  Columns 41 through 48

    0.0111    0.0105    0.0105    0.0114    0.0095    0.0098    0.0069    0.0078

  Columns 49 through 50

    0.0094    0.0021

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

ans =

    0.0011    0.0049    0.0036    0.0027    0.0045   -0.0029
    2.9850    2.4891    2.6412    2.6215    3.3259   -1.1911
    2.8268    2.4843    2.6347    2.5707    3.2757   -1.1891

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

gf =

    0.6054

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

ans =

    0.3801    0.7788

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

    0.0102    0.0127    0.0136    0.0094    0.0114    0.0119    0.0128    0.0128

  Columns 9 through 16

    0.0105    0.0121    0.0106    0.0083    0.0104    0.0129    0.0134    0.0073

  Columns 17 through 24

    0.0095    0.0108    0.0064    0.0120    0.0140    0.0063    0.0100    0.0133

  Columns 25 through 32

    0.0105    0.0114    0.0068    0.0116    0.0119    0.0129    0.0047    0.0105

  Columns 33 through 40

    0.0153    0.0072    0.0132    0.0079    0.0095    0.0095    0.0113    0.0103

  Columns 41 through 48

    0.0111    0.0099    0.0096    0.0103    0.0086    0.0098    0.0069    0.0078

  Columns 49 through 50

    0.0094    0.0120

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

ans =

    0.0007    0.0054    0.0036    0.0031    0.0033    0.0079
    2.3728    2.7234    2.6403    3.0605    2.4845    7.9397
    2.0972    2.7147    2.6240    2.9260    2.3982    7.7000

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

gf =

    0.8186

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

ans =

    0.6639    0.8719

