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Table 3 Zero-stage regression: equity returns

From: The Swiss franc safety premium

  S&P 500 SPI
\(r_{t+1}^{\omega }\) All All T<1999 T≥1999
dp t 0.012 0.005 −0.006 0.002
  [0.016] [0.012] [0.024] [0.015]
\(r_{t}^{\omega }\) 0.089 0.217*** 0.134 0.267***
  [0.089] [0.044] [0.084] [0.054]
Cons 0.053 0.024 −0.010 0.007
  [0.061] [0.047] [0.087] [0.059]
R 2 0.011 0.046 0.020 0.070
  1. Notes: This table reports the results of regressing the equity return on the lagged log dividend-price ratio and the lagged equity return (see Eq. (6)). The parameters are estimated by OLS using Newey-West standard errors with maximum lag order set equal to T1/2. The number of observations is 259 for the full sample, 107 for the first subsample and 152 for the second subsample. The standard errors are reported in square brackets
  2. ***, **, * denote significance levels of 1, 5, and 10%, respectively