Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.0097    0.0135    0.0149    0.0092    0.0103    0.0114    0.0139    0.0140

  Columns 9 through 16

    0.0102    0.0118    0.0100    0.0086    0.0101    0.0135    0.0141    0.0084

  Columns 17 through 24

    0.0095    0.0101    0.0077    0.0130    0.0163    0.0081    0.0091    0.0117

  Columns 25 through 32

    0.0107    0.0100    0.0098    0.0103    0.0101    0.0122    0.0066    0.0091

  Columns 33 through 40

    0.0183    0.0078    0.0144    0.0096    0.0102    0.0114    0.0105    0.0106

  Columns 41 through 45

    0.0106    0.0100    0.0091    0.0087    0.0072

Average portfolio returns predicted by the factor model

mean_port_ret_ff =

  Columns 1 through 8

    0.0107    0.0139    0.0152    0.0088    0.0108    0.0124    0.0142    0.0141

  Columns 9 through 16

    0.0114    0.0121    0.0105    0.0072    0.0120    0.0139    0.0138    0.0077

  Columns 17 through 24

    0.0093    0.0099    0.0074    0.0131    0.0147    0.0049    0.0095    0.0125

  Columns 25 through 32

    0.0118    0.0101    0.0072    0.0094    0.0115    0.0107    0.0077    0.0104

  Columns 33 through 40

    0.0144    0.0103    0.0139    0.0069    0.0087    0.0093    0.0111    0.0107

  Columns 41 through 48

    0.0108    0.0099    0.0099    0.0096    0.0086    0.0096    0.0085    0.0101

  Column 49

    0.0102

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

ans =

    0.0008    0.0051    0.0040    0.0053    0.0055
    1.7341    2.4892    3.0882    3.6546    2.9679
    1.6003    2.4793    3.0606    3.5739    2.9299

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 =

    0.5056    0.8182

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.0097    0.0135    0.0149    0.0092    0.0103    0.0114    0.0139    0.0140

  Columns 9 through 16

    0.0102    0.0118    0.0100    0.0086    0.0101    0.0135    0.0141    0.0084

  Columns 17 through 24

    0.0095    0.0101    0.0077    0.0130    0.0163    0.0081    0.0091    0.0117

  Columns 25 through 32

    0.0107    0.0100    0.0098    0.0103    0.0101    0.0122    0.0066    0.0091

  Columns 33 through 40

    0.0183    0.0078    0.0144    0.0096    0.0102    0.0114    0.0105    0.0106

  Columns 41 through 45

    0.0106    0.0100    0.0091    0.0087    0.0072

Average portfolio returns predicted by the factor model

mean_port_ret_ff =

  Columns 1 through 8

    0.0098    0.0135    0.0149    0.0088    0.0114    0.0128    0.0138    0.0137

  Columns 9 through 16

    0.0104    0.0130    0.0105    0.0074    0.0109    0.0135    0.0137    0.0071

  Columns 17 through 24

    0.0095    0.0104    0.0069    0.0128    0.0144    0.0059    0.0099    0.0131

  Columns 25 through 32

    0.0106    0.0112    0.0070    0.0108    0.0118    0.0129    0.0046    0.0105

  Columns 33 through 40

    0.0158    0.0079    0.0141    0.0077    0.0097    0.0096    0.0115    0.0107

  Columns 41 through 48

    0.0110    0.0096    0.0094    0.0096    0.0078    0.0096    0.0085    0.0101

  Columns 49 through 50

    0.0102   -0.0043

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

ans =

    0.0006    0.0052    0.0047    0.0045    0.0053   -0.0080
    1.6664    2.5486    3.6817    3.1168    2.8809   -8.1926
    1.4563    2.5383    3.6307    2.9989    2.8236   -8.1006

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

gf =

    0.9012

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

ans =

    0.7878    0.9234

Average portfolio returns

mean_port_ret =

  Columns 1 through 8

    0.0097    0.0135    0.0149    0.0092    0.0103    0.0114    0.0139    0.0140

  Columns 9 through 16

    0.0102    0.0118    0.0100    0.0086    0.0101    0.0135    0.0141    0.0084

  Columns 17 through 24

    0.0095    0.0101    0.0077    0.0130    0.0163    0.0081    0.0091    0.0117

  Columns 25 through 32

    0.0107    0.0100    0.0098    0.0103    0.0101    0.0122    0.0066    0.0091

  Columns 33 through 40

    0.0183    0.0078    0.0144    0.0096    0.0102    0.0114    0.0105    0.0106

  Columns 41 through 45

    0.0106    0.0100    0.0091    0.0087    0.0072

Average portfolio returns predicted by the factor model

mean_port_ret_ff =

  Columns 1 through 8

    0.0107    0.0139    0.0152    0.0088    0.0108    0.0124    0.0142    0.0141

  Columns 9 through 16

    0.0114    0.0121    0.0105    0.0072    0.0120    0.0139    0.0138    0.0077

  Columns 17 through 24

    0.0093    0.0099    0.0074    0.0131    0.0147    0.0048    0.0095    0.0126

  Columns 25 through 32

    0.0118    0.0101    0.0072    0.0094    0.0115    0.0107    0.0077    0.0104

  Columns 33 through 40

    0.0144    0.0103    0.0139    0.0069    0.0087    0.0093    0.0111    0.0107

  Columns 41 through 48

    0.0108    0.0099    0.0099    0.0096    0.0086    0.0096    0.0085    0.0101

  Columns 49 through 50

    0.0102    0.0023

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

ans =

    0.0009    0.0050    0.0040    0.0053    0.0055   -0.0028
    1.9043    2.4365    3.0900    3.7051    2.9820   -1.1131
    1.7578    2.4262    3.0634    3.6284    2.9456   -1.1080

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

gf =

    0.7592

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

ans =

    0.5894    0.8561

