The name is absent



Table 4. Tests for the predictability of value weighted NYSE returns.
Predictor: DY______________________________________________

(7,p) = (1.5,0.3)

W1__________

W2__________

mo = 1

Ê(m) = 4.992**

J3(mo) = 4.992**

Ê(m) = 5.139**

Ê(mo) = 5.139**

mo = 15

Ê(m) = 6.266**

Ê(mo) = 6.266**

Ê(m) = 6.798***

Ê(mo) = 6.798***

(7,d) = (0.5,0.1T=

W1

Wv2

mo = 1

Ê(m) = 6.862***

Ê(mo) = 4.992**

Ê(m) = 6.879***
Ê(mo) = 5.139**

mo = 15

Ê(m) = 6.266**
Ê(mo) = 6.266**

Ê(m) = 6.798***

Ê(mo) = 6.798***

RESET = 6.856***

Predictor: BM____________________________________________

(7,p) = (1.5,0.3)

W1

W2

mo = 1

Ê(m) = 3.632*

Ê(mo) = 3.632*

Ê(m) = 4.353**

Ê(mo) = 4.353**

mo = 15

Ê(m) = 3.490*

Ê(mo) = 3.490*

Ê(m) = 8.583***

Ê(mo) = 8.583***

(7,p) = (0.5, 0.1^

Wi

W2

mo = 1

Ê(m) = 4.938**

Ê(mo) = 3.632*

Ê(m) = 8.583***

Ê(mo) = 4.353**

mo = 15

Ê(m) = 4.938**

Ê(mo) = 3.490*

Ê(m) = 8.583***

Ê(mo) = 8.583***

RESET = 4.271**

Predictor: EP_________________________________________________

(7,p) = (1.5,0.3)

Wi__________

W2__________

mo = 1

Ê(m) = 1.580

Ê(mo) = 1.580

Ê(m) = 6.815***

Ê(mo) = 6.815***

mo = 15

Ê(m) = 7.518***

Ê(mo) = 7.518***

Ê(m) = 5.949**

Ê(mo) = 5.949**

(7,p) = (0.5, 0.1T=

Wi

W2

mo = 1

Ê(m) = 1.580

Ê(mo) = 1.580

Ê(m) = 6.815***

Ê(mo) = 6.815***

mo = 15

Ê(m) = 7.518***
j?(mo) = 7.518***

Ê(m) = 7.437***

Ê(mo) = 5.949**

RESET = 6.881***

* significant at 10% level. ** significant at 5% level. *** significant at 1% level.

24



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