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Abstract - Quest for Global Competitiveness - Universidad de Puerto ...

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Table 6Time-Series Regressions ResultsFair Value of Pension AssetsR it = α i + b i EXM t + h i HML t + s i SMB t + ε itIn the fourth month after the end of fiscal year t, firms with available data at the end of fiscal year t-1 are divi<strong>de</strong>d in <strong>de</strong>cilesaccording to the FVPAR. The stocks in the first <strong>de</strong>cile are the firms with the lowest level of FVPAR and the firms in thetenth <strong>de</strong>cile have the highest level of FVPAR. Panel A reports the constant (alpha) from a time-series regression ofportfolio excess return on the three Fama-French factors, which are the market excess return (EXM), the return on theHML portfolio, and the return on SMB portfolio. Panel B reports the slopes and adjusted R 2 from the regressions. Thesample period is from the fourth month after the end of fiscal year 1980 to 2006. t-statistics are presented in parentheses.LowestHighest1 2 3 4 5 6 7 8 9 10Alphas 0.014* 0.010* 0.009* 0.007* 0.007* 0.006* 0.004* 0.003* 0.004 -0.012*(12.41) (8.57) (7.81) (8.19) (7.19) (6.40) (4.82) (2.83) (0.37) (-8.88)Panel B: Factor Loadings and R 2EXM 0.010 0.009 0.009 0.009 0.008 0.008 0.008 0.009 0.009 0.010(25.63) (20.24) (17.36) (23.24) (22.41) (19.58) (26.13) (23.33) (25.64) (34.84)HML 0.014 0.003 0.002 0.003 0.004 0.004 0.004 0.005 0.005 0.008(1.93) (3.80) (3.79) (6.22) (7.38) (7.59) (7.58) (8.24) (11.11) (14.95)SMB 0.006 0.005 0.004 0.004 0.004 0.004 0.004 0.005 0.006 0.009(9.48) (7.51) (6.59) (9.75) (7.98) (9.44) (8.46) (9.75) (16.76) (13.71)R2 0.85 0.80 0.81 0.86 0.85 0.83 0.85 0.85 0.84 0.82Firm-years 1,861 1,896 1,883 1,885 1,861 1,854 1,819 1,828 1,808 1,566* Alphas significant at the 5 percent level.

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