From: What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets
Panel A: Predictability of US stock market excess returns | ||||||||
---|---|---|---|---|---|---|---|---|
h=1 | h=3 | h=6 | h=12 | |||||
1980 | \(\hat {\beta }\) | R2(%) | \(\hat {\beta }\) | R2(%) | \(\hat {\beta }\) | R2(%) | \(\hat {\beta }\) | R2(%) |
0.42** | 0.94 | 0.52*** | 4.15 | 0.43*** | 5.13 | 0.35** | 6.47 | |
(p value) | (0.02) | (0.00) | (0.01) | (0.02) | ||||
1990 | 0.41** | 1.00 | 0.46** | 3.49 | 0.40*** | 4.63 | 0.35** | 6.41 |
(p value) | (0.04) | (0.01) | (0.02) | (0.04) | ||||
1999 | 0.31 | 0.52 | 0.37* | 2.02 | 0.36* | 3.20 | 0.37 | 5.84 |
(p value) | (0.16) | (0.08) | (0.08) | (0.12) | ||||
Panel B: Predictability of Swiss stock market excess returns | ||||||||
\(\hat {\beta }\) | R2(%) | \(\hat {\beta }\) | R2(%) | \(\hat {\beta }\) | R2(%) | \(\hat {\beta }\) | R2(%) | |
1980 | – 0.08 | 0.03 | 0.01 | 0.00 | 0.04 | 0.04 | 0.07 | 0.20 |
(p value) | (0.62) | (0.47) | (0.25) | (0.35) | ||||
1990 | – 0.08 | 0.03 | – 0.02 | 0.00 | 0.06 | 0.07 | 0.13 | 0.66 |
(p value) | (0.57) | (0.50) | (0.37) | (0.28) | ||||
1999 | 0.01 | 0.00 | 0.04 | 0.02 | 0.11 | 0.33 | 0.20 | 1.81 |
(p value) | (0.49) | (0.43) | (0.33) | (0.23) |