Commercial Mortgage Delinquency, Foreclosure and Reinstatement

Table 6a - Estimation results for Stock Portfolios (Fama-French SpecificatiSizerankingBE/MErankingR-sqTerm spreadDefaultspread Stock market Size factorEquity factorConstant1 1 93.8% -0.0609 -0.3568 0.9106 *** 1.6172 *** -0.6912 *** -0.0002(0.860) (1.100) (13.230) (16.830) (6.570) (0.040)1 2 93.9% 0.0130 -0.0425 0.8434 *** 1.5271 *** -0.1548 0.0229 ***(0.230) (0.190) (16.660) (22.580) (1.220) (5.390)1 3 94.6% 0.0575 -0.1467 0.8212 *** 1.4205 *** 0.0814 0.0261 ***(0.970) (0.560) (17.450) (16.960) (1.420) (8.390)1 4 93.2% -0.0416 -0.4408 0.8513 *** 1.3412 *** 0.2611 *** 0.0291 ***(0.760) (1.280) (15.620) (15.500) (3.740) (8.220)1 5 92.6% -0.0411 -0.1516 0.9459 *** 1.4228 *** 0.4844 *** 0.0261 ***(0.670) (0.500) (17.250) (13.920) (6.140) (7.000)2 1 95.9% 0.0211 -0.0223 0.9837 *** 1.1548 *** -0.5280 *** 0.0091 **(0.260) (0.080) (12.380) (14.710) (7.710) (2.440)2 2 93.5% 0.0821 -0.1625 0.9325 *** 1.2108 *** 0.0567 0.0177 ***(1.320) (0.890) (18.820) (15.980) (0.970) (5.450)2 3 91.1% 0.1880 ** 0.1319 0.8978 *** 0.9606 *** 0.2603 *** 0.0250 ***(2.440) (0.620) (18.290) (15.360) (3.930) (6.970)2 4 89.1% 0.1491 ** -0.1075 0.8769 *** 0.9441 *** 0.4956 *** 0.0257 ***(2.400) (0.480) (16.450) (12.510) (7.660) (6.990)2 5 93.2% 0.1118 ** -0.1903 0.9647 *** 1.0790 *** 0.6556 *** 0.0201 ***(2.200) (0.890) (25.170) (14.320) (12.850) (6.470)3 1 92.8% 0.1546 0.4883 0.9681 *** 0.8668 *** -0.5118 *** 0.0146 ***(1.660) (1.150) (12.480) (8.770) (6.080) (3.080)3 2 89.9% 0.1399 * 0.0077 0.9259 *** 0.9241 *** 0.1258 * 0.0215 ***(1.740) (0.030) (14.740) (12.620) (1.800) (5.550)3 3 88.1% 0.1432 * -0.2082 0.9021 *** 0.7832 *** 0.4404 *** 0.0186 ***(1.770) (0.850) (15.880) (11.910) (5.940) (4.860)3 4 83.2% 0.1793 ** 0.0012 0.8898 *** 0.7258 *** 0.5551 *** 0.0209 ***(2.530) (0.010) (16.050) (9.130) (7.420) (5.120)3 5 86.1% 0.1442 * -0.2062 0.9258 *** 0.7336 *** 0.6497 *** 0.0267 ***(1.910) (0.750) (16.030) (9.690) (8.140) (6.820)4 1 92.9% 0.0531 -0.0065 0.8615 *** 0.6501 *** -0.6434 *** 0.0265 ***(0.510) (0.020) (10.440) (7.530) (5.490) (5.860)4 2 85.2% -0.0011 -0.3986 0.9925 *** 0.5893 *** 0.2084 ** 0.0166 ***(0.010) (1.590) (14.950) (8.150) (2.450) (3.820)4 3 83.7% 0.1568 ** -0.2816 0.9368 *** 0.6373 *** 0.3677 *** 0.0164 ***(2.010) (0.910) (16.150) (7.760) (4.310) (3.770)4 4 81.5% 0.2564 *** -0.2401 0.8158 *** 0.4310 *** 0.3283 *** 0.0230 ***(4.030) (0.710) (13.660) (5.310) (3.990) (5.640)4 5 78.2% 0.2819 *** -0.0063 0.8460 *** 0.5325 *** 0.4959 *** 0.0235 ***(3.450) (0.030) (13.830) (6.740) (4.270) (4.900)5 1 94.0% 0.0220 0.1085 0.9995 *** -0.1219 * -0.3799 *** 0.0240 ***(0.330) (0.520) (26.110) (1.990) (5.860) (8.260)5 2 87.9% -0.0150 -0.2298 1.0711 *** 0.0047 0.0770 0.0179 ***(0.210) (0.860) (17.570) (0.070) (1.220) (4.830)5 3 80.8% 0.0189 -0.0202 0.9916 *** -0.0991 0.1768 ** 0.0154 ***(0.290) (0.080) (16.390) (1.190) (2.570) (3.480)5 4 77.1% 0.1428 * 0.2684 0.9716 *** 0.0257 0.5190 *** 0.0162 ***(1.960) (0.970) (16.210) (0.330) (7.350) (3.750)5 5 76.5% 0.0653 0.0080 0.9298 *** 0.1351 0.7068 *** 0.0208 ***(0.660) (0.030) (14.670) (1.380) (9.460) (4.490)