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# Table 7 Second-stage regression—subsamples

\(r^{*}_{f,t+1}+E_{t}\left [\triangle e_{t+1}\right ]-r_{f,t+1}\) | \(E_{t}\left [\triangle e_{t+1}\right ] = \triangle e_{t+1}\) | \(E_{t}\left [\triangle e_{t+1}\right ] = 0 \) | \(E_{t}\left [\triangle e_{t+1}\right ] = \widehat {E_{t}\left [\triangle e_{t+1}\right ]} \) | |||
---|---|---|---|---|---|---|

\( + \frac {1}{2} \widetilde {Var_{t}} \left (\triangle e_{t+1} \right)\) | CHF Index | EUR/CHF | CHF Index | EUR/CHF | CHF Index | EUR/CHF |

Subperiod 1 | ||||||

\(\widetilde {Cov_{t}} \left (r_{t+1}^{\omega }, \triangle e_{t+1} \right)\) | −5.972 | −7.086* | 0.637*** | 0.718** | 4.260*** | 2.482** |

[4.902] | [4.538] | [0.234] | [0.365] | [1.462] | [1.230] | |

Cons
| 0.001 | 0.002* | 0.002*** | 0.002*** | 0.001* | 0.001*** |

[0.002] | [0.001] | [0.000] | [0.000] | [0.001] | [0.000] | |

J-statistic | 3.745 | 2.804 | 5.887 | 4.561 | 6.225 | 4.632 |

p value
| 0.442 | 0.591 | 0.208 | 0.335 | 0.183 | 0.327 |

Subperiod 2 | ||||||

\(\widetilde {Cov_{t}} \left (r_{t+1}^{\omega }, \triangle e_{t+1} \right)\) | −0.101 | −1.530 | 0.050 | 0.328** | 2.610* | 3.211*** |

[3.789] | [4.463] | [0.198] | [0.150] | [1.881] | [0.926] | |

Cons
| 0.000 | 0.000 | 0.001*** | 0.001*** | −0.001*** | −0.001*** |

[0.001] | [0.001] | [0.000] | [0.000] | [0.000] | [0.000] | |

J-statistic | 3.761 | 4.808 | 3.394 | 4.417 | 5.148 | 5.536 |

p value
| 0.439 | 0.308 | 0.494 | 0.353 | 0.272 | 0.237 |