Applications of state space models in finance
Applications of state space models in finance
Applications of state space models in finance
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190 Appendix C<br />
Table C.9: Fama-MacBeth regression results II.<br />
This table presents the estimation results for the Fama-MacBeth regressions with the regressors<br />
be<strong>in</strong>g the out-<strong>of</strong>-sample load<strong>in</strong>gs on the BMR, V GS, SIZ and T S factors only. The factor<br />
load<strong>in</strong>gs have been estimated from one <strong>of</strong> the time series regressions <strong>of</strong> excess sector returns<br />
on the set <strong>of</strong> explanatory variables as presented <strong>in</strong> 7.4.1. Average coefficients are expressed<br />
as percent per week ×10. The number <strong>of</strong> cross-sectional regressions is 520 for each model.<br />
t-statistics are reported <strong>in</strong> parentheses with the relevant critical value at the 95% (90%, 99%)<br />
level be<strong>in</strong>g −1.96 (−1.65, −2.59). Significant average coefficients are pr<strong>in</strong>ted <strong>in</strong> bold numbers.<br />
The last column reports average adjusted coefficients <strong>of</strong> determ<strong>in</strong>ation.<br />
Model BMR V GS SIZ T S ¯ R 2<br />
A. 22 February 1995–2 February 2005<br />
KF 1.128 0.532 0.346 −13.225 0.229<br />
(1.073) (0.650) (0.463) (−1.895)<br />
RLS 0.841 0.546 1.145 11.757 0.216<br />
(0.681) (0.381) (1.130) (0.315)<br />
RR5 0.717 0.680 1.329 14.079 0.213<br />
(0.585) (0.555) (1.400) (0.688)<br />
RR1 0.312 0.647 0.316 −7.041 0.218<br />
(0.291) (0.780) (0.416) (−0.827)<br />
B. 22 February 1995–8 March 2000<br />
KF 2.155 −1.375 1.856 −23.141 0.140<br />
(1.637) (−1.132) (1.690) (−2.262)<br />
RLS 1.518 −3.263 3.549 26.942 0.116<br />
(1.123) (−1.450) (2.605) (0.587)<br />
RR5 1.071 −2.175 3.853 33.279 0.130<br />
(0.788) (−1.104) (2.905) (0.942)<br />
RR1 1.408 −1.498 2.031 −18.327 0.127<br />
(1.043) (−1.264) (1.820) (−1.461)<br />
C. 15 March 2000–12 March 2003<br />
KF −2.727 3.362 −2.466 −5.080 0.371<br />
(−1.159) (1.973) (−1.708) (−0.353)<br />
RLS −3.974 6.663 −2.134 26.108 0.377<br />
(−1.359) (2.443) (−0.956) (0.296)<br />
RR5 −3.363 5.329 −2.130 0.556 0.362<br />
(−1.113) (2.370) (−1.058) (0.019)<br />
RR1 −3.081 3.908 −2.729 −2.148 0.362<br />
(−1.295) (2.155) (−1.855) (−0.128)<br />
D. 19 March 2003–2 February 2005<br />
KF 4.505 1.128 0.780 0.301 0.241<br />
(2.243) (1.564) (0.652) (0.035)<br />
RLS 6.670 1.001 −0.068 −51.495 0.228<br />
(2.523) (1.033) (−0.044) (−0.815)<br />
RR5 6.246 0.918 0.087 −15.673 0.199<br />
(2.778) (1.211) (0.064) (−0.669)<br />
RR1 2.774 1.194 0.569 15.294 0.231<br />
(1.327) (1.784) (0.472) (1.180)
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