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*** |
|
mo = 15 |
Ê(m) = 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*** |
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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