Commercial Mortgage Delinquency, Foreclosure and Reinstatement

Table 6c - Estimation results for Stock Portfolios (Six Factor Specification)SizerankingBE/MERankingR-sqTerm spreadDefaultspread Stock market Size factorEquity factor Consumption Constant1 1 94.1% -0.0348 -0.4062 0.9101 *** 1.5911 *** -0.6974 *** 1.5172 ** -0.0134 *(0.500) (1.390) (13.520) (16.770) (6.950) (2.060) (1.820)1 2 94.0% 0.0245 -0.0642 0.8432 *** 1.5156 *** -0.1576 0.6678 0.0170 ***(0.390) (0.300) (16.460) (21.870) (1.250) (1.170) (3.070)1 3 94.6% 0.0578 -0.1473 0.8212 *** 1.4202 *** 0.0813 0.0174 0.0260 ***(0.980) (0.550) (17.320) (16.460) (1.390) (0.030) (4.050)1 4 93.3% -0.0358 -0.4517 0.8512 *** 1.3354 *** 0.2597 *** 0.3374 0.0261 ***(0.650) (1.300) (15.590) (16.210) (3.710) (0.580) (5.560)1 5 92.7% -0.0276 -0.1772 0.9456 *** 1.4093 *** 0.4811 *** 0.7848 0.0193 ***(0.450) (0.590) (17.010) (13.650) (6.240) (1.000) (2.690)2 1 96.0% 0.0042 0.0098 0.9841 *** 1.1717 *** -0.5239 *** -0.9833 * 0.0177 ***(0.060) (0.040) (12.890) (16.110) (7.710) (1.800) (3.100)2 2 93.5% 0.0772 -0.1532 0.9326 *** 1.2157 *** 0.0579 -0.2867 0.0202 ***(1.250) (0.830) (19.080) (15.680) (0.990) (0.430) (2.980)2 3 91.3% 0.1749 ** 0.1567 0.8981 *** 0.9737 *** 0.2634 *** -0.7641 * 0.0317 ***(2.260) (0.810) (17.990) (16.650) (3.920) (1.740) (6.380)2 4 89.2% 0.1418 ** -0.0936 0.8771 *** 0.9515 *** 0.4973 *** -0.4253 0.0294 ***(2.300) (0.410) (16.450) (12.730) (7.600) (0.860) (5.960)2 5 93.4% 0.0987 ** -0.1656 0.9650 *** 1.0921 *** 0.6587 *** -0.7588 0.0267 ***(2.020) (0.740) (25.670) (14.330) (12.230) (1.100) (4.020)3 1 93.4% 0.1249 0.5446 0.9687 *** 0.8966 *** -0.5046 *** -1.7298 ** 0.0297 ***(1.430) (1.360) (13.510) (10.250) (6.230) (2.470) (4.470)3 2 90.2% 0.1224 0.0408 0.9263 *** 0.9417 *** 0.1300 * -1.0182 0.0304 ***(1.560) (0.140) (15.570) (12.670) (1.940) (1.570) (4.800)3 3 88.2% 0.1351 -0.1929 0.9023 *** 0.7913 *** 0.4423 *** -0.4710 0.0227 ***(1.660) (0.760) (16.070) (11.790) (5.970) (0.900) (4.320)3 4 83.7% 0.1603 ** 0.0374 0.8902 *** 0.7449 *** 0.5597 *** -1.1105 ** 0.0306 ***(2.360) (0.190) (16.630) (9.890) (7.370) (2.090) (5.230)3 5 86.2% 0.1385 * -0.1955 0.9259 *** 0.7393 *** 0.6510 *** -0.3305 0.0296 ***(1.760) (0.690) (15.690) (10.120) (7.940) (0.550) (5.330)4 1 93.0% 0.0397 0.0190 0.8618 *** 0.6636 *** -0.6401 *** -0.7845 0.0333 ***(0.390) (0.060) (10.760) (7.870) (5.310) (1.360) (5.550)4 2 85.2% -0.0021 -0.3966 0.9925 *** 0.5903 *** 0.2087 ** -0.0588 0.0171 ***(0.030) (1.540) (14.880) (8.110) (2.440) (0.100) (2.870)4 3 83.9% 0.1441 * -0.2575 0.9370 *** 0.6501 *** 0.3707 *** -0.7393 0.0228 ***(1.860) (0.790) (16.200) (7.950) (4.300) (1.190) (3.800)4 4 82.1% 0.2367 *** -0.2029 0.8162 *** 0.4506 *** 0.3331 *** -1.1434 * 0.0330 ***(3.630) (0.560) (13.770) (5.960) (3.780) (1.740) (6.180)4 5 78.2% 0.2831 *** -0.0087 0.8459 *** 0.5313 *** 0.4956 *** 0.0730 0.0228 ***(3.330) (0.040) (13.770) (6.610) (4.210) (0.110) (3.560)5 1 94.6% -0.0020 0.1540 1.0000 *** -0.0978 * -0.3741 *** -1.3990 *** 0.0362 ***(0.030) (0.810) (28.250) (1.850) (6.050) (3.080) (7.840)5 2 88.0% -0.0265 -0.2081 1.0714 *** 0.0162 0.0798 -0.6684 0.0237 ***(0.380) (0.770) (18.520) (0.260) (1.300) (1.170) (4.160)5 3 80.9% 0.0271 -0.0356 0.9915 *** -0.1073 0.1748 ** 0.4740 0.0112(0.410) (0.130) (15.820) (1.230) (2.470) (0.740) (1.650)5 4 77.3% 0.1308 * 0.2910 0.9719 *** 0.0376 0.5219 *** -0.6948 0.0223 ***(1.790) (1.060) (16.440) (0.470) (7.480) (1.160) (3.680)5 5 76.5% 0.0634 0.0117 0.9299 *** 0.1370 0.7073 *** -0.1139 0.0218 ***(0.630) (0.040) (14.600) (1.410) (9.450) (0.190) (3.240)