place your estimates of the funds' "alphas" and the associated t-statistics (null hypothesis b 0 = 0) in the table below 59 180 204 Fund Number 289 301 310 454 480 510 516 b0 or alpha: t-statistic: b0 or alpha: t-statistic: b0 or alpha: t-statistic: b0 or alpha: t-statistic: b0 or alpha: t-statistic: b0 or alpha: t-statistic: b0 or alpha: t-statistic: b0 or alpha: t-statistic: b0 or alpha: t-statistic: b0 or alpha: t-statistic: b0 or alpha: t-statistic: Equally-weighted index of fund returns Confidence interval lower limit: Confidence interval upper limit: Based on one-factor Based on 3-factor Famamarket model French model hypothesis b 0 = 0) in the table below Based on 4-factor model icdi ccyy 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 mm 1994 1994 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1998 1998 1998 1998 1998 1998 1998 1998 1998 1998 1998 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 ret exret mrp smb hml mom rf 0.001998 -0.001702 -0.0408 -0.0025 0.0009 -0.0016 0.005982 0.001582 0.0083 0.0012 -0.0013 0.0344 -0.022863 -0.027063 0.0164 -0.0332 0.0255 -0.0185 0.06409 0.06009 0.0357 -0.0025 0.0018 -0.0038 0.043021 0.038421 0.0224 -0.0028 -0.0227 0.004 0.043996 0.039596 0.0205 -0.0041 0.0173 0.0182 0.014925 0.009525 0.0287 -0.0224 0.0183 -0.0046 0.093426 0.088726 0.0261 0.0297 -0.0279 0.0294 0.113924 0.109424 0.0362 0.0222 -0.0221 0.0255 0.009233 0.004533 0.0047 0.0168 0.0197 0.0011 0.043631 0.039331 0.0321 -0.0217 -0.0068 0.0284 -0.023601 -0.028301 -0.0158 -0.0404 0.0019 0.0406 0.019337 0.015137 0.0387 -0.008 0.0024 -0.0065 -0.0102 -0.0151 0.0105 0.0048 0.0116 0.0256 -0.014337 -0.018637 0.0238 -0.0249 0.0051 0.0057 0.040727 0.036827 0.0122 0.0213 -0.0233 0.0065 0.04682 0.04292 0.0073 0.0139 0.0095 -0.0198 0.118825 0.114225 0.0205 0.0499 -0.0419 -0.0098 0.084129 0.079929 0.0225 0.0323 -0.0137 0.0157 -0.080352 -0.084352 -0.0117 -0.0392 0.0249 0.01 -0.103531 -0.108031 -0.0578 -0.0357 0.0444 -0.0007 0.052737 0.048637 0.0281 0.0228 -0.0051 0.0006 0.087508 0.083108 0.0486 -0.0083 -0.0361 0.027 -0.005831 -0.010031 0.0097 -0.0398 0.0459 0.0384 0.046744 0.042644 0.0616 -0.035 0.0012 -0.0226 0 -0.0046 -0.0159 0.0317 0.0106 0.0059 0.007353 0.002853 0.0485 -0.0149 -0.0246 0.0192 -0.088153 -0.092053 -0.0048 -0.026 0.048 -0.0204 -0.05234 -0.05664 -0.0487 -0.0028 0.0384 0.0084 0.016894 0.012594 0.0382 -0.0512 -0.0112 0.0484 0.107987 0.103087 0.0664 0.046 -0.0415 -0.0517 0.063437 0.059737 0.0405 0.0145 0.0083 0.0255 0.093818 0.089518 0.072 -0.0236 -0.0055 0.0377 0.015369 0.011269 -0.0405 0.0749 0.0096 -0.0256 0.067383 0.062983 0.0536 0.0262 -0.0035 0.015 -0.099268 -0.103468 -0.0383 -0.0081 0.0225 -0.0043 -0.0002 -0.0041 0.0272 -0.0509 0.0121 0.0042 -0.009265 -0.014065 0.0132 -0.0228 0.037 0.0397 0.006858 0.002558 0.0001 -0.0108 -0.0163 0.0011 0.074923 0.071023 0.0689 0.0034 -0.0109 -0.0114 0.042051 0.038151 0.0475 -0.0135 0.0188 0.0212 0.009996 0.005696 0.0066 0.0046 0.0028 0.0068 -0.053532 -0.057532 -0.0294 -0.0348 0.0402 0.0183 0.07172 0.06762 0.0286 -0.0332 -0.0163 0.0734 -0.028292 -0.032292 -0.0271 -0.0468 -0.0145 0.0378 -0.151176 -0.155476 -0.1612 -0.0566 0.0537 0.0172 0.076517 0.071917 0.0595 -0.0042 -0.0349 -0.0054 -0.008578 -0.011778 0.0712 -0.0306 -0.0302 -0.0513 0.093943 0.090843 0.0587 0.0122 -0.0357 0.0122 0.0037 0.0044 0.0042 0.004 0.0046 0.0044 0.0054 0.0047 0.0045 0.0047 0.0043 0.0047 0.0042 0.0049 0.0043 0.0039 0.0039 0.0046 0.0042 0.004 0.0045 0.0041 0.0044 0.0042 0.0041 0.0046 0.0045 0.0039 0.0043 0.0043 0.0049 0.0037 0.0043 0.0041 0.0044 0.0042 0.0039 0.0048 0.0043 0.0039 0.0039 0.0043 0.004 0.0041 0.004 0.0043 0.0046 0.0032 0.0031 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 59 1998 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2002 2002 2002 2002 2002 2002 2002 2002 2002 2002 2002 2002 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 0.142674 0.071575 -0.093511 0.089474 -0.005797 -0.008746 0.092157 -0.014363 0.040073 0.018389 0.082975 0.113537 0.265268 0.015584 0.335678 -0.050503 -0.104109 -0.125492 0.048906 -0.088957 0.140067 -0.07531 -0.073459 -0.13359 0.014339 -0.028272 -0.135776 -0.087905 0.009569 -0.006093 -0.026567 -0.031491 -0.030347 -0.043219 0.006231 0.03096 0.042793 0.0036 -0.012912 0.037064 0.035039 -0.016926 -0.066804 -0.123985 -0.040438 -0.009658 0.027482 0.074202 -0.102008 0.138874 0.068075 -0.097011 0.085174 -0.009497 -0.012146 0.088157 -0.018163 0.036173 0.014489 0.079075 0.109937 0.260868 0.011484 0.331378 -0.055203 -0.108709 -0.130492 0.044906 -0.093757 0.135067 -0.08041 -0.079059 -0.13869 0.009339 -0.033672 -0.139676 -0.092305 0.005669 -0.009293 -0.029367 -0.034491 -0.033447 -0.046019 0.004031 0.02926 0.041293 0.0022 -0.014212 0.035764 0.033539 -0.018326 -0.068104 -0.125485 -0.041838 -0.011058 0.026082 0.073002 -0.103108 0.0595 0.0348 -0.0414 0.0337 0.0451 -0.0242 0.0469 -0.0344 -0.014 -0.0268 0.0583 0.0324 0.0785 -0.0445 0.0244 0.0517 -0.0633 -0.043 0.0468 -0.0223 0.071 -0.0564 -0.0292 -0.1064 0.0145 0.033 -0.1017 -0.0733 0.0794 0.0077 -0.0201 -0.0208 -0.0621 -0.0935 0.025 0.0765 0.0161 -0.0176 -0.0226 0.0427 -0.0506 -0.0121 -0.0714 -0.0826 0.0064 -0.101 0.073 0.0596 -0.0542 -0.003 0.0107 -0.0562 -0.0379 0.0302 0.0353 0.0344 0.0212 -0.0124 0.0318 -0.0678 0.0756 0.0662 0.0465 0.2138 -0.1626 -0.0732 -0.0578 0.1304 -0.0279 -0.0047 -0.0205 -0.0382 -0.0348 0.0145 0.0698 -0.0123 0.0054 0.0022 0.0294 0.0678 -0.0405 0.0194 -0.0654 0.0691 0.005 0.0477 0.0111 -0.0159 0.0436 0.0599 -0.0348 0.0334 -0.0499 -0.024 0.0259 -0.0296 0.0334 -0.0065 -0.0482 -0.0608 0.0183 -0.0291 0.027 0.03 -0.0429 0.0077 -0.0125 -0.0305 -0.0335 -0.0793 -0.0887 -0.0068 -0.1205 0.0748 0.0875 0.0543 -0.0891 0.0866 -0.0208 0.0737 0.0519 0.1318 0.0629 -0.0578 0.1367 0.0622 -0.0446 0.028 -0.0271 0.0527 0.0376 0.0181 -0.0705 0.0059 0.0092 0.0356 0.038 0.0103 0.0413 0.0221 0.0195 -0.0352 0.0256 0.0138 -0.065 -0.0199 0.0413 0.0891 0.0289 -0.0014 -0.0129 -0.0908 -0.0534 0.0457 0.015 0.0312 0.064 0.0545 0.0555 0.1329 0.0174 0.1821 -0.0652 -0.0866 -0.0918 0.1622 -0.001 0.0569 0.023 -0.0466 -0.0253 0.0662 -0.2513 0.1266 0.0824 -0.0818 0.0218 0.0036 0.054 0.054 0.1141 -0.0861 -0.0865 -0.0009 0.0375 0.0697 -0.0172 0.0785 0.0306 0.063 0.0326 0.0174 0.0907 -0.0531 -0.1614 0.0961 0.0038 0.0035 0.0035 0.0043 0.0037 0.0034 0.004 0.0038 0.0039 0.0039 0.0039 0.0036 0.0044 0.0041 0.0043 0.0047 0.0046 0.005 0.004 0.0048 0.005 0.0051 0.0056 0.0051 0.005 0.0054 0.0039 0.0044 0.0039 0.0032 0.0028 0.003 0.0031 0.0028 0.0022 0.0017 0.0015 0.0014 0.0013 0.0013 0.0015 0.0014 0.0013 0.0015 0.0014 0.0014 0.0014 0.0012 0.0011 icdi ccyy 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 mm 1986 1986 1986 1986 1986 1986 1986 1986 1986 1986 1986 1987 1987 1987 1987 1987 1987 1987 1987 1987 1987 1987 1987 1988 1988 1988 1988 1988 1988 1988 1988 1988 1988 1988 1988 1989 1989 1989 1989 1989 1989 1989 1989 1989 1989 1989 1989 1990 1990 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 ret exret mrp smb hml mom rf 0.064516 0.059216 0.0675 -0.0059 -0.0065 0.0279 0.051117 0.045117 0.0479 -0.0058 -0.0039 0.0231 -0.029412 -0.034612 -0.0132 0.0278 -0.0271 -0.0055 0.070707 0.065807 0.046 -0.0141 -0.0023 0.0205 0.075815 0.070615 0.0091 -0.01 0.0136 0.0498 -0.107143 -0.112343 -0.0649 -0.0353 0.046 0.018 0.03 0.0254 0.0618 -0.0418 0.0338 -0.0501 -0.160194 -0.164694 -0.0837 0.0254 0.0319 -0.0583 0.058824 0.054224 0.0448 -0.0248 -0.014 0.0272 0.011111 0.007211 0.0113 -0.0202 0.0003 -0.0029 -0.005678 -0.010578 -0.0314 0.0009 0.003 0.0028 0.078652 0.074452 0.1242 -0.0173 -0.0295 0.0193 0.020833 0.016533 0.0433 0.0347 -0.0587 -0.0199 -0.010625 -0.015325 0.0186 0.0057 0.015 0.0162 -0.042105 -0.046505 -0.0215 -0.0163 -0.0026 0.0022 -0.021978 -0.025778 0.0014 -0.0049 0.0015 -0.0084 0.033219 0.028419 0.039 -0.0212 0.0093 -0.0014 0.022222 0.017622 0.0395 -0.0049 0.0081 0.0271 0.021739 0.017039 0.0325 -0.0083 -0.0097 -0.0086 0.000717 -0.003783 -0.0252 0.0048 0.0009 0.0068 -0.271739 -0.277739 -0.2309 -0.0831 0.042 -0.0799 -0.074627 -0.078127 -0.0764 0.0255 0.0318 -0.0127 0.039578 0.035678 0.0665 0.0004 -0.044 0.0571 -0.031746 -0.034646 0.0424 -0.0073 0.0508 -0.0748 0.065574 0.060974 0.047 0.0335 -0.0157 -0.0152 -0.039543 -0.043943 -0.0215 0.0625 0.0096 0.0068 0.016393 0.011793 0.0064 0.0086 0.0142 0.0231 -0.016129 -0.021229 -0.0042 -0.0271 0.0245 0.0068 0.058183 0.053283 0.0465 0.0191 -0.0123 -0.0296 -0.015873 -0.020973 -0.0123 -0.0025 0.0221 0.0065 -0.032258 -0.038158 -0.0338 0.0008 0.0206 0.0039 0.025424 0.019224 0.0311 -0.0127 -0.0072 0.0026 0 -0.0061 0.0116 -0.028 0.0172 0.0132 -0.033333 -0.039033 -0.0221 -0.0169 0.0124 0.0032 0.025862 0.019562 0.0147 0.0187 -0.0155 0.0051 0.068966 0.063466 0.0605 -0.0217 0.004 -0.0015 0.032258 0.026158 -0.0225 0.0278 0.0086 0.0092 0.007446 0.000746 0.0149 0.0069 0.0043 0.0352 0.047619 0.040919 0.0418 -0.0048 -0.0146 0.0177 0.106061 0.098161 0.0316 -0.0011 -0.009 0.0157 0 -0.0071 -0.012 -0.0103 0.0195 0.0084 0.068493 0.061493 0.0701 -0.0411 -0.0299 0.0551 0.025641 0.018241 0.0146 0.0043 0.0064 -0.0017 0.05 0.0435 -0.0081 0.0041 -0.0127 0.0331 -0.02381 -0.03061 -0.0362 -0.0304 -0.0077 0.0149 0 -0.0069 0.011 -0.0125 -0.0126 0.0259 -0.073171 -0.079271 0.0122 -0.024 0.0031 0.0273 -0.105263 -0.110963 -0.0758 -0.0134 0.008 -0.0336 0.058824 0.053124 0.0093 0.0095 0.0051 -0.0046 0.0053 0.006 0.0052 0.0049 0.0052 0.0052 0.0046 0.0045 0.0046 0.0039 0.0049 0.0042 0.0043 0.0047 0.0044 0.0038 0.0048 0.0046 0.0047 0.0045 0.006 0.0035 0.0039 0.0029 0.0046 0.0044 0.0046 0.0051 0.0049 0.0051 0.0059 0.0062 0.0061 0.0057 0.0063 0.0055 0.0061 0.0067 0.0067 0.0079 0.0071 0.007 0.0074 0.0065 0.0068 0.0069 0.0061 0.0057 0.0057 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 1990 1990 1990 1990 1990 1990 1990 1990 1990 1990 1991 1991 1991 1991 1991 1991 1991 1991 1991 1991 1991 1991 1992 1992 1992 1992 1992 1992 1992 1992 1992 1992 1992 1992 1993 1993 1993 1993 1993 1993 1993 1993 1993 1993 1993 1993 1994 1994 1994 1994 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 0.013889 -0.013699 0.111111 0 -0.0625 -0.16 -0.095238 0 0 0 0 0.070175 0.016393 -0.032258 0 -0.033333 0.086207 0.063492 0 -0.014925 -0.045455 0.126984 0.014085 0.013889 -0.041096 -0.028571 -0.029412 -0.045455 0.047619 -0.060606 0.032258 0.078125 0.057971 0.027397 0.066667 0.0125 0.012346 -0.012195 -0.012346 0.0125 -0.012346 0.0375 0.048193 -0.011494 -0.034884 0 0.072289 -0.033708 -0.104651 -0.038961 0.007489 -0.020599 0.104311 -0.0063 -0.0693 -0.1666 -0.101238 -0.0068 -0.0057 -0.006 -0.0052 0.065375 0.011993 -0.037558 -0.0047 -0.037533 0.081307 0.058892 -0.0046 -0.019125 -0.049355 0.123184 0.010685 0.011089 -0.044496 -0.031771 -0.032212 -0.048655 0.044519 -0.063206 0.029658 0.075825 0.055671 0.024597 0.064367 0.0103 0.009846 -0.014595 -0.014546 0.01 -0.014746 0.035 0.045593 -0.013694 -0.037384 -0.0023 0.069789 -0.035808 -0.107351 -0.041661 0.0177 -0.0351 0.0821 -0.0106 -0.0162 -0.0984 -0.0599 -0.0192 0.0603 0.0235 0.0439 0.0709 0.0244 -0.0019 0.0359 -0.0484 0.0419 0.0223 -0.0157 0.0135 -0.0412 0.1032 -0.005 0.0105 -0.0271 0.0106 0.0037 -0.0224 0.0368 -0.0234 0.0098 0.0086 0.0379 0.0148 0.0101 0.0033 0.0225 -0.0279 0.0272 0.0026 -0.0032 0.0368 -0.0019 0.0159 -0.0198 0.0171 0.0289 -0.0262 -0.0484 0.0072 0.0137 -0.0034 -0.0279 0.0128 -0.0312 -0.0351 -0.0354 -0.0565 0.0018 0.0067 0.0363 0.0394 0.0394 0.0053 -0.0052 0.0008 -0.0095 0.0159 0.0163 0.009 -0.0054 -0.0227 0.0849 0.0086 -0.01 -0.0609 0.0042 -0.031 -0.0039 -0.0007 0.0059 0.0213 0.0355 0.0162 0.0206 -0.0337 0.0034 -0.0061 0.0205 -0.0033 0.0106 0.0006 0.0314 0.0171 -0.0132 0.0131 0.0027 0.0266 -0.0101 -0.0084 -0.0281 -0.0251 -0.038 -0.0213 0.0002 0.0157 0.007 0.0023 -0.03 -0.0159 -0.0166 -0.0065 -0.0123 0.0151 -0.0052 0.0115 -0.0131 -0.0079 -0.0117 -0.0046 -0.0191 -0.0403 0.0476 0.0645 0.0352 0.0427 0.0103 0.0325 -0.0057 -0.0103 -0.0016 -0.0206 -0.0163 0.025 0.0576 0.0653 0.0126 0.0266 -0.0342 0.0262 0.0292 0.0006 -0.0022 -0.0236 -0.0079 0.0032 0.0158 -0.0125 0.0151 0.0149 0.018 0.0247 0.0309 0.024 0.0601 0.0174 0.0575 0.0672 -0.0552 0.0005 -0.065 -0.0499 0.0254 -0.0238 -0.0023 0.0042 0.0431 0.0151 0.017 0.032 0.0136 0.0825 -0.025 -0.0064 -0.0028 -0.0255 -0.0001 -0.0056 0.0145 -0.0032 0.013 0.027 -0.0022 0.0451 0.0477 0.0315 0.0368 0.0037 0.0025 0.045 0.032 0.0248 0.0337 -0.0271 -0.0475 0.0233 0.001 -0.0029 -0.013 0.0036 0.0064 0.0069 0.0068 0.0063 0.0068 0.0066 0.006 0.0068 0.0057 0.006 0.0052 0.0048 0.0044 0.0053 0.0047 0.0042 0.0049 0.0046 0.0046 0.0042 0.0039 0.0038 0.0034 0.0028 0.0034 0.0032 0.0028 0.0032 0.0031 0.0026 0.0026 0.0023 0.0023 0.0028 0.0023 0.0022 0.0025 0.0024 0.0022 0.0025 0.0024 0.0025 0.0026 0.0022 0.0025 0.0023 0.0025 0.0021 0.0027 0.0027 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 1994 1994 1994 1994 1994 1994 1994 1994 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1998 1998 1998 1998 1998 1998 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 -0.013514 -0.068493 0 0.044118 0.014085 0 -0.055556 -0.029412 -0.030303 -0.015625 0.031746 0 0.046154 0.073529 0.041096 0 0.026316 -0.038462 -0.066667 -0.071429 0.046154 0.058824 -0.055556 0.102941 0.026667 -0.090909 -0.1 -0.015873 0.112903 -0.014493 0.147059 -0.038462 0.146667 -0.081395 -0.101266 0.070423 0.026316 -0.012821 0.12987 -0.034483 0.02381 -0.104651 0 -0.038961 0.067568 0.088608 0 0.034884 -0.044944 0.082353 -0.016714 -0.071593 -0.0028 0.040418 0.010385 -0.0038 -0.059256 -0.033812 -0.034503 -0.019625 0.027146 -0.0044 0.040754 0.068829 0.036596 -0.0047 0.022016 -0.043162 -0.070867 -0.076329 0.041854 0.054924 -0.059456 0.098341 0.022467 -0.094909 -0.1045 -0.019973 0.108503 -0.018693 0.142959 -0.043062 0.142167 -0.085295 -0.105566 0.066123 0.021416 -0.016521 0.12557 -0.038583 0.01941 -0.108851 -0.0039 -0.043761 0.063268 0.084708 -0.0039 0.030584 -0.048944 0.078253 0.0063 -0.0305 0.0276 0.0391 -0.0224 0.0111 -0.0408 0.0083 0.0164 0.0357 0.0224 0.0205 0.0287 0.0261 0.0362 0.0047 0.0321 -0.0158 0.0387 0.0105 0.0238 0.0122 0.0073 0.0205 0.0225 -0.0117 -0.0578 0.0281 0.0486 0.0097 0.0616 -0.0159 0.0485 -0.0048 -0.0487 0.0382 0.0664 0.0405 0.072 -0.0405 0.0536 -0.0383 0.0272 0.0132 0.0001 0.0689 0.0475 0.0066 -0.0294 0.0286 -0.02 -0.0046 -0.0182 0.0124 0.0261 -0.0231 -0.0025 0.0012 -0.0332 -0.0025 -0.0028 -0.0041 -0.0224 0.0297 0.0222 0.0168 -0.0217 -0.0404 -0.008 0.0048 -0.0249 0.0213 0.0139 0.0499 0.0323 -0.0392 -0.0357 0.0228 -0.0083 -0.0398 -0.035 0.0317 -0.0149 -0.026 -0.0028 -0.0512 0.046 0.0145 -0.0236 0.0749 0.0262 -0.0081 -0.0509 -0.0228 -0.0108 0.0034 -0.0135 0.0046 -0.0348 -0.0332 0.0024 0.0181 0.0097 -0.0292 -0.016 -0.0179 0.0009 -0.0013 0.0255 0.0018 -0.0227 0.0173 0.0183 -0.0279 -0.0221 0.0197 -0.0068 0.0019 0.0024 0.0116 0.0051 -0.0233 0.0095 -0.0419 -0.0137 0.0249 0.0444 -0.0051 -0.0361 0.0459 0.0012 0.0106 -0.0246 0.048 0.0384 -0.0112 -0.0415 0.0083 -0.0055 0.0096 -0.0035 0.0225 0.0121 0.037 -0.0163 -0.0109 0.0188 0.0028 0.0402 -0.0163 -0.0219 -0.0085 0.0014 0.0157 0.0132 0.0145 -0.0016 0.0344 -0.0185 -0.0038 0.004 0.0182 -0.0046 0.0294 0.0255 0.0011 0.0284 0.0406 -0.0065 0.0256 0.0057 0.0065 -0.0198 -0.0098 0.0157 0.01 -0.0007 0.0006 0.027 0.0384 -0.0226 0.0059 0.0192 -0.0204 0.0084 0.0484 -0.0517 0.0255 0.0377 -0.0256 0.015 -0.0043 0.0042 0.0397 0.0011 -0.0114 0.0212 0.0068 0.0183 0.0734 0.0032 0.0031 0.0028 0.0037 0.0037 0.0038 0.0037 0.0044 0.0042 0.004 0.0046 0.0044 0.0054 0.0047 0.0045 0.0047 0.0043 0.0047 0.0042 0.0049 0.0043 0.0039 0.0039 0.0046 0.0042 0.004 0.0045 0.0041 0.0044 0.0042 0.0041 0.0046 0.0045 0.0039 0.0043 0.0043 0.0049 0.0037 0.0043 0.0041 0.0044 0.0042 0.0039 0.0048 0.0043 0.0039 0.0039 0.0043 0.004 0.0041 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 180 1998 1998 1998 1998 1998 1998 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 0.043478 -0.166667 0.125 0.066667 0.104167 0.113208 0.144068 -0.088889 0.081301 -0.022556 -0.030769 0.071429 0 0.051852 -0.021127 0.064748 0.040541 0.084416 -0.041916 0.06875 0.076023 -0.059783 -0.109827 0.12987 -0.045977 0.10241 -0.092896 -0.084337 -0.210526 -0.008017 0.072072 -0.310924 -0.195122 0.19697 -0.063291 -0.054054 -0.071429 -0.123077 -0.157895 0.041667 0.12 0.039478 -0.170967 0.1204 0.063467 0.101067 0.109408 0.140568 -0.092389 0.077001 -0.026256 -0.034169 0.067429 -0.0038 0.047952 -0.025027 0.060848 0.036941 0.080016 -0.046016 0.06445 0.071323 -0.064383 -0.114827 0.12587 -0.050777 0.09741 -0.097996 -0.089937 -0.215626 -0.013017 0.066672 -0.314824 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0.0378 0.0172 -0.0054 -0.0513 0.0122 0.0891 0.0289 -0.0014 -0.0129 -0.0908 -0.0534 0.0457 0.015 0.0312 0.064 0.0545 0.0555 0.1329 0.0174 0.1821 -0.0652 -0.0866 -0.0918 0.1622 -0.001 0.0569 0.023 -0.0466 -0.0253 0.0662 -0.2513 0.1266 0.0824 -0.0818 0.0218 0.0036 0.054 0.054 0.1141 -0.0861 -0.0865 0.004 0.0043 0.0046 0.0032 0.0031 0.0038 0.0035 0.0035 0.0043 0.0037 0.0034 0.004 0.0038 0.0039 0.0039 0.0039 0.0036 0.0044 0.0041 0.0043 0.0047 0.0046 0.005 0.004 0.0048 0.005 0.0051 0.0056 0.0051 0.005 0.0054 0.0039 0.0044 0.0039 0.0032 0.0028 0.003 0.0031 0.0028 0.0022 0.0017 icdi ccyy 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 mm 1989 1989 1989 1989 1989 1989 1989 1989 1990 1990 1990 1990 1990 1990 1990 1990 1990 1990 1990 1990 1991 1991 1991 1991 1991 1991 1991 1991 1991 1991 1991 1991 1992 1992 1992 1992 1992 1992 1992 1992 1992 1992 1992 1992 1993 1993 1993 1993 1993 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 ret exret mrp smb hml mom rf 0.026946 0.019046 0.0316 -0.0011 -0.009 0.0157 -0.008746 -0.015846 -0.012 -0.0103 0.0195 0.0084 0.007901 0.000901 0.0701 -0.0411 -0.0299 0.0551 0.026367 0.018967 0.0146 0.0043 0.0064 -0.0017 0.002854 -0.003646 -0.0081 0.0041 -0.0127 0.0331 -0.056157 -0.062957 -0.0362 -0.0304 -0.0077 0.0149 -0.024194 -0.031094 0.011 -0.0125 -0.0126 0.0259 0.021694 0.015594 0.0122 -0.024 0.0031 0.0273 -0.068507 -0.074207 -0.0758 -0.0134 0.008 -0.0336 0.059276 0.053576 0.0093 0.0095 0.0051 -0.0046 0.063212 0.056812 0.0177 0.0137 -0.0281 0.018 -0.025507 -0.032407 -0.0351 -0.0034 -0.0251 0.0247 0.083501 0.076701 0.0821 -0.0279 -0.038 0.0309 0.012071 0.005771 -0.0106 0.0128 -0.0213 0.024 -0.048765 -0.055565 -0.0162 -0.0312 0.0002 0.0601 -0.145068 -0.151668 -0.0984 -0.0351 0.0157 0.0174 -0.080317 -0.086317 -0.0599 -0.0354 0.007 0.0575 -0.040283 -0.047083 -0.0192 -0.0565 0.0023 0.0672 0.071979 0.066279 0.0603 0.0018 -0.03 -0.0552 0.073741 0.067741 0.0235 0.0067 -0.0159 0.0005 0.115471 0.110271 0.0439 0.0363 -0.0166 -0.065 0.101508 0.096708 0.0709 0.0394 -0.0065 -0.0499 0.058394 0.053994 0.0244 0.0394 -0.0123 0.0254 0.009477 0.004177 -0.0019 0.0053 0.0151 -0.0238 0.047986 0.043286 0.0359 -0.0052 -0.0052 -0.0023 -0.040883 -0.045083 -0.0484 0.0008 0.0115 0.0042 0.02733 0.02243 0.0419 -0.0095 -0.0131 0.0431 0.035774 0.031174 0.0223 0.0159 -0.0079 0.0151 -0.004016 -0.008616 -0.0157 0.0163 -0.0117 0.017 0.011322 0.007122 0.0135 0.009 -0.0046 0.032 -0.0304 -0.0343 -0.0412 -0.0054 -0.0191 0.0136 0.084158 0.080358 0.1032 -0.0227 -0.0403 0.0825 0.076078 0.072678 -0.005 0.0849 0.0476 -0.025 0.037901 0.035101 0.0105 0.0086 0.0645 -0.0064 -0.010534 -0.013934 -0.0271 -0.01 0.0352 -0.0028 -0.02557 -0.02877 0.0106 -0.0609 0.0427 -0.0255 0.000729 -0.002071 0.0037 0.0042 0.0103 -0.0001 -0.016035 -0.019235 -0.0224 -0.031 0.0325 -0.0056 0.034886 0.031786 0.0368 -0.0039 -0.0057 0.0145 0.008608 0.006008 -0.0234 -0.0007 -0.0103 -0.0032 0.012802 0.010202 0.0098 0.0059 -0.0016 0.013 0.05205 0.04975 0.0086 0.0213 -0.0206 0.027 0.070187 0.067887 0.0379 0.0355 -0.0163 -0.0022 0.048095 0.045295 0.0148 0.0162 0.025 0.0451 0.058974 0.056674 0.0101 0.0206 0.0576 0.0477 0.003027 0.000827 0.0033 -0.0337 0.0653 0.0315 0.041038 0.038538 0.0225 0.0034 0.0126 0.0368 -0.018558 -0.020958 -0.0279 -0.0061 0.0266 0.0037 0.03016 0.02796 0.0272 0.0205 -0.0342 0.0025 0.0079 0.0071 0.007 0.0074 0.0065 0.0068 0.0069 0.0061 0.0057 0.0057 0.0064 0.0069 0.0068 0.0063 0.0068 0.0066 0.006 0.0068 0.0057 0.006 0.0052 0.0048 0.0044 0.0053 0.0047 0.0042 0.0049 0.0046 0.0046 0.0042 0.0039 0.0038 0.0034 0.0028 0.0034 0.0032 0.0028 0.0032 0.0031 0.0026 0.0026 0.0023 0.0023 0.0028 0.0023 0.0022 0.0025 0.0024 0.0022 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 1993 1993 1993 1993 1993 1993 1993 1994 1994 1994 1994 1994 1994 1994 1994 1994 1994 1994 1994 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1997 1997 1997 1997 1997 1997 1997 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 0.003444 -0.001148 0.043553 0.020868 0.009149 -0.019733 0.032497 0.029572 -0.000586 -0.044575 -0.007375 -0.011765 -0.017544 0.038937 0.044253 0.004709 0.000602 -0.022874 0.024159 0.00798 0.019488 0.017921 0.032337 0.02221 0.022841 0.052929 0.023847 0.002532 -0.035922 0.012605 0.018012 0.001074 0.021984 0.020462 0.050004 0.028487 -0.01958 -0.061563 0.042686 0.032951 0.003868 0.05746 0.037211 0.031294 0 -0.014946 -0.001834 0.074331 0.058015 0.058166 0.000944 -0.003548 0.041053 0.018268 0.006949 -0.022233 0.030197 0.027072 -0.002686 -0.047275 -0.010075 -0.014965 -0.020644 0.036137 0.040553 0.001009 -0.003198 -0.026574 0.019759 0.00378 0.015488 0.013321 0.027937 0.01681 0.018141 0.048429 0.019147 -0.001768 -0.040622 0.008405 0.013112 -0.003226 0.018084 0.016562 0.045404 0.024287 -0.02358 -0.066063 0.038586 0.028551 -0.000332 0.05336 0.032611 0.026794 -0.0039 -0.019246 -0.006134 0.069431 0.054315 0.053866 0.0026 -0.0032 0.0368 -0.0019 0.0159 -0.0198 0.0171 0.0289 -0.0262 -0.0484 0.0072 0.0063 -0.0305 0.0276 0.0391 -0.0224 0.0111 -0.0408 0.0083 0.0164 0.0357 0.0224 0.0205 0.0287 0.0261 0.0362 0.0047 0.0321 -0.0158 0.0387 0.0105 0.0238 0.0122 0.0073 0.0205 0.0225 -0.0117 -0.0578 0.0281 0.0486 0.0097 0.0616 -0.0159 0.0485 -0.0048 -0.0487 0.0382 0.0664 0.0405 0.072 -0.0033 0.0106 0.0006 0.0314 0.0171 -0.0132 0.0131 0.0027 0.0266 -0.0101 -0.0084 -0.02 -0.0046 -0.0182 0.0124 0.0261 -0.0231 -0.0025 0.0012 -0.0332 -0.0025 -0.0028 -0.0041 -0.0224 0.0297 0.0222 0.0168 -0.0217 -0.0404 -0.008 0.0048 -0.0249 0.0213 0.0139 0.0499 0.0323 -0.0392 -0.0357 0.0228 -0.0083 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0.0047 0.0042 0.0049 0.0043 0.0039 0.0039 0.0046 0.0042 0.004 0.0045 0.0041 0.0044 0.0042 0.0041 0.0046 0.0045 0.0039 0.0043 0.0043 0.0049 0.0037 0.0043 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 1997 1997 1997 1997 1997 1998 1998 1998 1998 1998 1998 1998 1998 1998 1998 1998 1998 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2001 2001 2001 2001 2001 2001 2001 2001 2001 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 0.016148 0.069996 -0.014881 0.002876 0.01525 -0.008378 0.067588 0.034173 0.008001 -0.026252 -0.012061 -0.06515 -0.126251 0.049339 0.024883 0.032854 0.032843 -0.036095 -0.075319 -0.025771 0.11897 0.045763 0.048217 -0.014348 -0.045991 -0.019761 -0.046355 0.033584 0.022327 -0.049109 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-0.0866 -0.0918 0.1622 -0.001 0.0569 0.023 -0.0466 -0.0253 0.0662 -0.2513 0.1266 0.0824 -0.0818 0.0218 0.0036 0.054 0.054 0.1141 0.0041 0.0044 0.0042 0.0039 0.0048 0.0043 0.0039 0.0039 0.0043 0.004 0.0041 0.004 0.0043 0.0046 0.0032 0.0031 0.0038 0.0035 0.0035 0.0043 0.0037 0.0034 0.004 0.0038 0.0039 0.0039 0.0039 0.0036 0.0044 0.0041 0.0043 0.0047 0.0046 0.005 0.004 0.0048 0.005 0.0051 0.0056 0.0051 0.005 0.0054 0.0039 0.0044 0.0039 0.0032 0.0028 0.003 0.0031 0.0028 204 204 204 204 204 204 204 204 204 204 204 204 204 204 204 2001 2001 2001 2002 2002 2002 2002 2002 2002 2002 2002 2002 2002 2002 2002 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 0.040386 0.054852 0.066182 -0.001546 0.023616 0.0721 0.033192 -0.022556 -0.017523 -0.132835 0.00616 -0.070328 0.026801 0.051348 -0.015716 0.038186 0.053152 0.064682 -0.002946 0.022316 0.0708 0.031692 -0.023956 -0.018823 -0.134335 0.00476 -0.071728 0.025401 0.050148 -0.016816 0.025 0.0765 0.0161 -0.0176 -0.0226 0.0427 -0.0506 -0.0121 -0.0714 -0.0826 0.0064 -0.101 0.073 0.0596 -0.0542 0.0691 0.005 0.0477 0.0111 -0.0159 0.0436 0.0599 -0.0348 0.0334 -0.0499 -0.024 0.0259 -0.0296 0.0334 -0.0065 -0.0705 0.0059 0.0092 0.0356 0.038 0.0103 0.0413 0.0221 0.0195 -0.0352 0.0256 0.0138 -0.065 -0.0199 0.0413 -0.0861 -0.0865 -0.0009 0.0375 0.0697 -0.0172 0.0785 0.0306 0.063 0.0326 0.0174 0.0907 -0.0531 -0.1614 0.0961 0.0022 0.0017 0.0015 0.0014 0.0013 0.0013 0.0015 0.0014 0.0013 0.0015 0.0014 0.0014 0.0014 0.0012 0.0011 icdi ccyy 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 mm 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1998 1998 1998 1998 1998 1998 1998 1998 1998 1998 1998 1998 1999 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 ret exret mrp smb hml mom rf 0.010827 0.006627 0.0164 -0.0332 0.0255 -0.0185 0.037001 0.033001 0.0357 -0.0025 0.0018 -0.0038 0.026291 0.021691 0.0224 -0.0028 -0.0227 0.004 0.022926 0.018526 0.0205 -0.0041 0.0173 0.0182 0.045781 0.040381 0.0287 -0.0224 0.0183 -0.0046 0.015451 0.010751 0.0261 0.0297 -0.0279 0.0294 0.012692 0.008192 0.0362 0.0222 -0.0221 0.0255 0.001682 -0.003018 0.0047 0.0168 0.0197 0.0011 0.033585 0.029285 0.0321 -0.0217 -0.0068 0.0284 -0.01385 -0.01855 -0.0158 -0.0404 0.0019 0.0406 0.046281 0.042081 0.0387 -0.008 0.0024 -0.0065 0.011525 0.006625 0.0105 0.0048 0.0116 0.0256 0.029791 0.025491 0.0238 -0.0249 0.0051 0.0057 0.02502 0.02112 0.0122 0.0213 -0.0233 0.0065 0.019832 0.015932 0.0073 0.0139 0.0095 -0.0198 0.023194 0.018594 0.0205 0.0499 -0.0419 -0.0098 0.005121 0.000921 0.0225 0.0323 -0.0137 0.0157 -0.029112 -0.033112 -0.0117 -0.0392 0.0249 0.01 -0.047631 -0.052131 -0.0578 -0.0357 0.0444 -0.0007 0.032514 0.028414 0.0281 0.0228 -0.0051 0.0006 0.030722 0.026322 0.0486 -0.0083 -0.0361 0.027 -0.009005 -0.013205 0.0097 -0.0398 0.0459 0.0384 0.064906 0.060806 0.0616 -0.035 0.0012 -0.0226 -0.010102 -0.014702 -0.0159 0.0317 0.0106 0.0059 -0.003072 -0.007572 0.0485 -0.0149 -0.0246 0.0192 0.011556 0.007656 -0.0048 -0.026 0.048 -0.0204 -0.031226 -0.035526 -0.0487 -0.0028 0.0384 0.0084 0.027516 0.023216 0.0382 -0.0512 -0.0112 0.0484 0.06886 0.06396 0.0664 0.046 -0.0415 -0.0517 0.023622 0.019922 0.0405 0.0145 0.0083 0.0255 0.072878 0.068578 0.072 -0.0236 -0.0055 0.0377 -0.022876 -0.026976 -0.0405 0.0749 0.0096 -0.0256 0.04214 0.03774 0.0536 0.0262 -0.0035 0.015 -0.048961 -0.053161 -0.0383 -0.0081 0.0225 -0.0043 0.033175 0.029275 0.0272 -0.0509 0.0121 0.0042 0.008474 0.003674 0.0132 -0.0228 0.037 0.0397 -0.011822 -0.016122 0.0001 -0.0108 -0.0163 0.0011 0.073892 0.069992 0.0689 0.0034 -0.0109 -0.0114 0.049803 0.045903 0.0475 -0.0135 0.0188 0.0212 -0.001881 -0.006181 0.0066 0.0046 0.0028 0.0068 -0.016291 -0.020291 -0.0294 -0.0348 0.0402 0.0183 -0.005732 -0.009832 0.0286 -0.0332 -0.0163 0.0734 -0.026996 -0.030996 -0.0271 -0.0468 -0.0145 0.0378 -0.143894 -0.148194 -0.1612 -0.0566 0.0537 0.0172 0.094834 0.090234 0.0595 -0.0042 -0.0349 -0.0054 0.088262 0.085062 0.0712 -0.0306 -0.0302 -0.0513 0.056457 0.053357 0.0587 0.0122 -0.0357 0.0122 0.018739 0.014939 0.0595 -0.003 -0.0482 0.0891 0.016567 0.013067 0.0348 0.0107 -0.0608 0.0289 0.0042 0.004 0.0046 0.0044 0.0054 0.0047 0.0045 0.0047 0.0043 0.0047 0.0042 0.0049 0.0043 0.0039 0.0039 0.0046 0.0042 0.004 0.0045 0.0041 0.0044 0.0042 0.0041 0.0046 0.0045 0.0039 0.0043 0.0043 0.0049 0.0037 0.0043 0.0041 0.0044 0.0042 0.0039 0.0048 0.0043 0.0039 0.0039 0.0043 0.004 0.0041 0.004 0.0043 0.0046 0.0032 0.0031 0.0038 0.0035 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 289 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2002 2002 2002 2002 2002 2002 2002 2002 2002 2002 2002 2002 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 -0.022816 0.044029 0.122983 -0.023959 0.041496 -0.039392 -0.026932 -0.068583 0.009061 0 -0.014072 -0.037509 -0.084559 0.148094 0.007725 0.017422 -0.083234 0 0.076634 -0.030346 0.022399 -0.040989 0.059355 0.044901 -0.041515 -0.069578 0.03928 0.035433 -0.034221 0.000787 -0.052714 -0.118219 0.037736 0.114545 -0.012991 0.016543 -0.026037 0.051474 -0.023052 0.002441 -0.072938 -0.089395 -0.012512 -0.108942 0.061336 0.119711 -0.067761 -0.026316 0.039729 0.119283 -0.027359 0.037496 -0.043192 -0.030832 -0.072483 0.005161 -0.0036 -0.018472 -0.041609 -0.088859 0.143394 0.003125 0.012422 -0.087234 -0.0048 0.071634 -0.035446 0.016799 -0.046089 0.054355 0.039501 -0.045415 -0.073978 0.03538 0.032233 -0.037021 -0.002213 -0.055814 -0.121019 0.035536 0.112845 -0.014491 0.015143 -0.027337 0.050174 -0.024552 0.001041 -0.074238 -0.090895 -0.013912 -0.110342 0.059936 0.118511 -0.068861 -0.0414 0.0337 0.0451 -0.0242 0.0469 -0.0344 -0.014 -0.0268 0.0583 0.0324 0.0785 -0.0445 0.0244 0.0517 -0.0633 -0.043 0.0468 -0.0223 0.071 -0.0564 -0.0292 -0.1064 0.0145 0.033 -0.1017 -0.0733 0.0794 0.0077 -0.0201 -0.0208 -0.0621 -0.0935 0.025 0.0765 0.0161 -0.0176 -0.0226 0.0427 -0.0506 -0.0121 -0.0714 -0.0826 0.0064 -0.101 0.073 0.0596 -0.0542 -0.0562 -0.0379 0.0302 0.0353 0.0344 0.0212 -0.0124 0.0318 -0.0678 0.0756 0.0662 0.0465 0.2138 -0.1626 -0.0732 -0.0578 0.1304 -0.0279 -0.0047 -0.0205 -0.0382 -0.0348 0.0145 0.0698 -0.0123 0.0054 0.0022 0.0294 0.0678 -0.0405 0.0194 -0.0654 0.0691 0.005 0.0477 0.0111 -0.0159 0.0436 0.0599 -0.0348 0.0334 -0.0499 -0.024 0.0259 -0.0296 0.0334 -0.0065 0.0183 -0.0291 0.027 0.03 -0.0429 0.0077 -0.0125 -0.0305 -0.0335 -0.0793 -0.0887 -0.0068 -0.1205 0.0748 0.0875 0.0543 -0.0891 0.0866 -0.0208 0.0737 0.0519 0.1318 0.0629 -0.0578 0.1367 0.0622 -0.0446 0.028 -0.0271 0.0527 0.0376 0.0181 -0.0705 0.0059 0.0092 0.0356 0.038 0.0103 0.0413 0.0221 0.0195 -0.0352 0.0256 0.0138 -0.065 -0.0199 0.0413 -0.0014 -0.0129 -0.0908 -0.0534 0.0457 0.015 0.0312 0.064 0.0545 0.0555 0.1329 0.0174 0.1821 -0.0652 -0.0866 -0.0918 0.1622 -0.001 0.0569 0.023 -0.0466 -0.0253 0.0662 -0.2513 0.1266 0.0824 -0.0818 0.0218 0.0036 0.054 0.054 0.1141 -0.0861 -0.0865 -0.0009 0.0375 0.0697 -0.0172 0.0785 0.0306 0.063 0.0326 0.0174 0.0907 -0.0531 -0.1614 0.0961 0.0035 0.0043 0.0037 0.0034 0.004 0.0038 0.0039 0.0039 0.0039 0.0036 0.0044 0.0041 0.0043 0.0047 0.0046 0.005 0.004 0.0048 0.005 0.0051 0.0056 0.0051 0.005 0.0054 0.0039 0.0044 0.0039 0.0032 0.0028 0.003 0.0031 0.0028 0.0022 0.0017 0.0015 0.0014 0.0013 0.0013 0.0015 0.0014 0.0013 0.0015 0.0014 0.0014 0.0014 0.0012 0.0011 icdi ccyy 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 mm 1994 1994 1994 1994 1994 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1998 1998 1998 1998 1998 1998 1998 1998 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 ret exret mrp smb hml mom rf 0.089178 0.085478 0.0391 0.0124 -0.0292 0.0157 0 -0.0037 -0.0224 0.0261 -0.016 0.0132 0.024839 0.021039 0.0111 -0.0231 -0.0179 0.0145 -0.028725 -0.032425 -0.0408 -0.0025 0.0009 -0.0016 0.033314 0.028914 0.0083 0.0012 -0.0013 0.0344 -0.008057 -0.012257 0.0164 -0.0332 0.0255 -0.0185 0.025271 0.021271 0.0357 -0.0025 0.0018 -0.0038 0.041373 0.036773 0.0224 -0.0028 -0.0227 0.004 0.063398 0.058998 0.0205 -0.0041 0.0173 0.0182 0.007154 0.001754 0.0287 -0.0224 0.0183 -0.0046 0.059984 0.055284 0.0261 0.0297 -0.0279 0.0294 0.124348 0.119848 0.0362 0.0222 -0.0221 0.0255 0.04106 0.03636 0.0047 0.0168 0.0197 0.0011 0.034351 0.030051 0.0321 -0.0217 -0.0068 0.0284 -0.023985 -0.028685 -0.0158 -0.0404 0.0019 0.0406 0.020794 0.016594 0.0387 -0.008 0.0024 -0.0065 0.050999 0.046099 0.0105 0.0048 0.0116 0.0256 -0.04034 -0.04464 0.0238 -0.0249 0.0051 0.0057 0.050885 0.046985 0.0122 0.0213 -0.0233 0.0065 0.012632 0.008732 0.0073 0.0139 0.0095 -0.0198 0.121275 0.116675 0.0205 0.0499 -0.0419 -0.0098 0.090853 0.086653 0.0225 0.0323 -0.0137 0.0157 -0.060057 -0.064057 -0.0117 -0.0392 0.0249 0.01 -0.105485 -0.109985 -0.0578 -0.0357 0.0444 -0.0007 0.065364 0.061264 0.0281 0.0228 -0.0051 0.0006 0.020873 0.016473 0.0486 -0.0083 -0.0361 0.027 -0.025403 -0.029603 0.0097 -0.0398 0.0459 0.0384 0.016529 0.012429 0.0616 -0.035 0.0012 -0.0226 0.035968 0.031368 -0.0159 0.0317 0.0106 0.0059 0.028609 0.024109 0.0485 -0.0149 -0.0246 0.0192 -0.036869 -0.040769 -0.0048 -0.026 0.048 -0.0204 -0.036266 -0.040566 -0.0487 -0.0028 0.0384 0.0084 -0.044599 -0.048899 0.0382 -0.0512 -0.0112 0.0484 0.123997 0.119097 0.0664 0.046 -0.0415 -0.0517 0.075925 0.072225 0.0405 0.0145 0.0083 0.0255 0.04041 0.03611 0.072 -0.0236 -0.0055 0.0377 0.061449 0.057349 -0.0405 0.0749 0.0096 -0.0256 0.062807 0.058407 0.0536 0.0262 -0.0035 0.015 -0.035971 -0.040171 -0.0383 -0.0081 0.0225 -0.0043 -0.009595 -0.013495 0.0272 -0.0509 0.0121 0.0042 -0.024229 -0.029029 0.0132 -0.0228 0.037 0.0397 -0.0133 -0.0176 0.0001 -0.0108 -0.0163 0.0011 0.073171 0.069271 0.0689 0.0034 -0.0109 -0.0114 0.060407 0.056507 0.0475 -0.0135 0.0188 0.0212 -0.013536 -0.017836 0.0066 0.0046 0.0028 0.0068 -0.059463 -0.063463 -0.0294 -0.0348 0.0402 0.0183 -0.001824 -0.005924 0.0286 -0.0332 -0.0163 0.0734 -0.084653 -0.088653 -0.0271 -0.0468 -0.0145 0.0378 -0.214904 -0.219204 -0.1612 -0.0566 0.0537 0.0172 0.0037 0.0037 0.0038 0.0037 0.0044 0.0042 0.004 0.0046 0.0044 0.0054 0.0047 0.0045 0.0047 0.0043 0.0047 0.0042 0.0049 0.0043 0.0039 0.0039 0.0046 0.0042 0.004 0.0045 0.0041 0.0044 0.0042 0.0041 0.0046 0.0045 0.0039 0.0043 0.0043 0.0049 0.0037 0.0043 0.0041 0.0044 0.0042 0.0039 0.0048 0.0043 0.0039 0.0039 0.0043 0.004 0.0041 0.004 0.0043 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 301 1998 1998 1998 1998 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2002 2002 2002 2002 2002 2002 2002 2002 2002 2002 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 0.021186 0.073029 0.088167 0.051173 0.018256 -0.063745 -0.01844 0.070087 0.037812 0.08393 -0.011405 -0.007286 0.02263 -0.039474 0.094022 0.058355 -0.001902 0.14803 -0.02435 -0.076007 -0.06814 0.140316 -0.021953 0.098051 -0.019903 -0.050494 -0.093064 0.118084 0.124584 -0.090047 -0.02474 0.094126 0.039658 0.026408 -0.002287 -0.036103 -0.139715 0.076019 0.057803 0.060932 -0.006631 -0.024879 0.082141 0.0023 -0.028112 -0.038371 -0.191529 -0.025816 -0.069369 0.036013 0.016586 0.069829 0.085067 0.047373 0.014756 -0.067245 -0.02274 0.066387 0.034412 0.07993 -0.015205 -0.011186 0.01873 -0.043374 0.090422 0.053955 -0.006002 0.14373 -0.02905 -0.080607 -0.07314 0.136316 -0.026753 0.093051 -0.025003 -0.056094 -0.098164 0.113084 0.119184 -0.093947 -0.02914 0.090226 0.036458 0.023608 -0.005287 -0.039203 -0.142515 0.073819 0.056103 0.059432 -0.008031 -0.026179 0.080841 0.0008 -0.029512 -0.039671 -0.193029 -0.027216 -0.070769 0.034613 0.0595 0.0712 0.0587 0.0595 0.0348 -0.0414 0.0337 0.0451 -0.0242 0.0469 -0.0344 -0.014 -0.0268 0.0583 0.0324 0.0785 -0.0445 0.0244 0.0517 -0.0633 -0.043 0.0468 -0.0223 0.071 -0.0564 -0.0292 -0.1064 0.0145 0.033 -0.1017 -0.0733 0.0794 0.0077 -0.0201 -0.0208 -0.0621 -0.0935 0.025 0.0765 0.0161 -0.0176 -0.0226 0.0427 -0.0506 -0.0121 -0.0714 -0.0826 0.0064 -0.101 0.073 -0.0042 -0.0306 0.0122 -0.003 0.0107 -0.0562 -0.0379 0.0302 0.0353 0.0344 0.0212 -0.0124 0.0318 -0.0678 0.0756 0.0662 0.0465 0.2138 -0.1626 -0.0732 -0.0578 0.1304 -0.0279 -0.0047 -0.0205 -0.0382 -0.0348 0.0145 0.0698 -0.0123 0.0054 0.0022 0.0294 0.0678 -0.0405 0.0194 -0.0654 0.0691 0.005 0.0477 0.0111 -0.0159 0.0436 0.0599 -0.0348 0.0334 -0.0499 -0.024 0.0259 -0.0296 -0.0349 -0.0302 -0.0357 -0.0482 -0.0608 0.0183 -0.0291 0.027 0.03 -0.0429 0.0077 -0.0125 -0.0305 -0.0335 -0.0793 -0.0887 -0.0068 -0.1205 0.0748 0.0875 0.0543 -0.0891 0.0866 -0.0208 0.0737 0.0519 0.1318 0.0629 -0.0578 0.1367 0.0622 -0.0446 0.028 -0.0271 0.0527 0.0376 0.0181 -0.0705 0.0059 0.0092 0.0356 0.038 0.0103 0.0413 0.0221 0.0195 -0.0352 0.0256 0.0138 -0.065 -0.0054 -0.0513 0.0122 0.0891 0.0289 -0.0014 -0.0129 -0.0908 -0.0534 0.0457 0.015 0.0312 0.064 0.0545 0.0555 0.1329 0.0174 0.1821 -0.0652 -0.0866 -0.0918 0.1622 -0.001 0.0569 0.023 -0.0466 -0.0253 0.0662 -0.2513 0.1266 0.0824 -0.0818 0.0218 0.0036 0.054 0.054 0.1141 -0.0861 -0.0865 -0.0009 0.0375 0.0697 -0.0172 0.0785 0.0306 0.063 0.0326 0.0174 0.0907 -0.0531 0.0046 0.0032 0.0031 0.0038 0.0035 0.0035 0.0043 0.0037 0.0034 0.004 0.0038 0.0039 0.0039 0.0039 0.0036 0.0044 0.0041 0.0043 0.0047 0.0046 0.005 0.004 0.0048 0.005 0.0051 0.0056 0.0051 0.005 0.0054 0.0039 0.0044 0.0039 0.0032 0.0028 0.003 0.0031 0.0028 0.0022 0.0017 0.0015 0.0014 0.0013 0.0013 0.0015 0.0014 0.0013 0.0015 0.0014 0.0014 0.0014 301 301 2002 2002 11 0.09135 0.09015 12 -0.037037 -0.038137 0.0596 -0.0542 0.0334 -0.0065 -0.0199 0.0413 -0.1614 0.0961 0.0012 0.0011 icdi ccyy 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 mm 1990 1990 1990 1990 1990 1990 1991 1991 1991 1991 1991 1991 1991 1991 1991 1991 1991 1991 1992 1992 1992 1992 1992 1992 1992 1992 1992 1992 1992 1992 1993 1993 1993 1993 1993 1993 1993 1993 1993 1993 1993 1993 1994 1994 1994 1994 1994 1994 1994 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 ret exret mrp smb hml mom rf 0.003003 -0.003797 -0.0162 -0.0312 0.0002 0.0601 -0.060878 -0.067478 -0.0984 -0.0351 0.0157 0.0174 -0.052094 -0.058094 -0.0599 -0.0354 0.007 0.0575 -0.022573 -0.029373 -0.0192 -0.0565 0.0023 0.0672 0.047344 0.041644 0.0603 0.0018 -0.03 -0.0552 0.012196 0.006196 0.0235 0.0067 -0.0159 0.0005 0.049396 0.044196 0.0439 0.0363 -0.0166 -0.065 0.084728 0.079928 0.0709 0.0394 -0.0065 -0.0499 0.026037 0.021637 0.0244 0.0394 -0.0123 0.0254 -0.003759 -0.009059 -0.0019 0.0053 0.0151 -0.0238 0.030189 0.025489 0.0359 -0.0052 -0.0052 -0.0023 -0.064113 -0.068313 -0.0484 0.0008 0.0115 0.0042 0.053045 0.048145 0.0419 -0.0095 -0.0131 0.0431 0.016791 0.012191 0.0223 0.0159 -0.0079 0.0151 -0.020185 -0.024785 -0.0157 0.0163 -0.0117 0.017 0.020638 0.016438 0.0135 0.009 -0.0046 0.032 -0.014706 -0.018606 -0.0412 -0.0054 -0.0191 0.0136 0.117572 0.113772 0.1032 -0.0227 -0.0403 0.0825 -0.005853 -0.009253 -0.005 0.0849 0.0476 -0.025 -0.009251 -0.012051 0.0105 0.0086 0.0645 -0.0064 -0.039474 -0.042874 -0.0271 -0.01 0.0352 -0.0028 -0.024779 -0.027979 0.0106 -0.0609 0.0427 -0.0255 0.025408 0.022608 0.0037 0.0042 0.0103 -0.0001 -0.042023 -0.045223 -0.0224 -0.031 0.0325 -0.0056 0.049074 0.045974 0.0368 -0.0039 -0.0057 0.0145 -0.024713 -0.027313 -0.0234 -0.0007 -0.0103 -0.0032 -0.00633 -0.00893 0.0098 0.0059 -0.0016 0.013 0.010959 0.008659 0.0086 0.0213 -0.0206 0.027 0.023487 0.021187 0.0379 0.0355 -0.0163 -0.0022 0.005958 0.003158 0.0148 0.0162 0.025 0.0451 -0.009692 -0.011992 0.0101 0.0206 0.0576 0.0477 -0.024021 -0.026221 0.0033 -0.0337 0.0653 0.0315 0.003687 0.001187 0.0225 0.0034 0.0126 0.0368 -0.061076 -0.063476 -0.0279 -0.0061 0.0266 0.0037 0.01165 0.00945 0.0272 0.0205 -0.0342 0.0025 0.027847 0.025347 0.0026 -0.0033 0.0262 0.045 -0.001878 -0.004278 -0.0032 0.0106 0.0292 0.032 0.040452 0.037952 0.0368 0.0006 0.0006 0.0248 -0.000982 -0.003582 -0.0019 0.0314 -0.0022 0.0337 0.018232 0.016032 0.0159 0.0171 -0.0236 -0.0271 -0.020591 -0.023091 -0.0198 -0.0132 -0.0079 -0.0475 0.00457 0.00227 0.0171 0.0131 0.0032 0.0233 0.026654 0.024154 0.0289 0.0027 0.0158 0.001 -0.038462 -0.040562 -0.0262 0.0266 -0.0125 -0.0029 -0.036 -0.0387 -0.0484 -0.0101 0.0151 -0.013 0.002083 -0.000617 0.0072 -0.0084 0.0149 0.0036 0.006237 0.003037 0.0063 -0.02 0.0024 -0.0219 -0.032025 -0.035125 -0.0305 -0.0046 0.0181 -0.0085 0.026911 0.024111 0.0276 -0.0182 0.0097 0.0014 0.0068 0.0066 0.006 0.0068 0.0057 0.006 0.0052 0.0048 0.0044 0.0053 0.0047 0.0042 0.0049 0.0046 0.0046 0.0042 0.0039 0.0038 0.0034 0.0028 0.0034 0.0032 0.0028 0.0032 0.0031 0.0026 0.0026 0.0023 0.0023 0.0028 0.0023 0.0022 0.0025 0.0024 0.0022 0.0025 0.0024 0.0025 0.0026 0.0022 0.0025 0.0023 0.0025 0.0021 0.0027 0.0027 0.0032 0.0031 0.0028 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 310 1994 1994 1994 1994 1994 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1997 1997 1997 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 0.044025 -0.00753 0.008147 -0.028283 0.00104 0.032634 0 0.007675 0.055367 0.041756 0.032271 0.068862 -0.008403 0.035782 0.009107 0.055054 -0.007784 0.016782 0.035922 -0.003796 -0.001883 -0.000943 -0.007743 -0.04489 0.025 0.063317 -0.023941 0.051887 -0.006188 0.037975 -0.009582 -0.031662 0.040325 -0.01123 0.004347 -0.031983 -0.00336 0.028434 -0.004 0.003075 0.050967 0.036356 0.027571 0.064362 -0.013103 0.031482 0.004407 0.050854 -0.012684 0.012482 0.032022 -0.007696 -0.006483 -0.005143 -0.011743 -0.04939 0.0209 0.058917 -0.028141 0.047787 -0.010788 0.033475 -0.013482 -0.035962 0.0391 -0.0224 0.0111 -0.0408 0.0083 0.0164 0.0357 0.0224 0.0205 0.0287 0.0261 0.0362 0.0047 0.0321 -0.0158 0.0387 0.0105 0.0238 0.0122 0.0073 0.0205 0.0225 -0.0117 -0.0578 0.0281 0.0486 0.0097 0.0616 -0.0159 0.0485 -0.0048 -0.0487 0.0124 0.0261 -0.0231 -0.0025 0.0012 -0.0332 -0.0025 -0.0028 -0.0041 -0.0224 0.0297 0.0222 0.0168 -0.0217 -0.0404 -0.008 0.0048 -0.0249 0.0213 0.0139 0.0499 0.0323 -0.0392 -0.0357 0.0228 -0.0083 -0.0398 -0.035 0.0317 -0.0149 -0.026 -0.0028 -0.0292 -0.016 -0.0179 0.0009 -0.0013 0.0255 0.0018 -0.0227 0.0173 0.0183 -0.0279 -0.0221 0.0197 -0.0068 0.0019 0.0024 0.0116 0.0051 -0.0233 0.0095 -0.0419 -0.0137 0.0249 0.0444 -0.0051 -0.0361 0.0459 0.0012 0.0106 -0.0246 0.048 0.0384 0.0157 0.0132 0.0145 -0.0016 0.0344 -0.0185 -0.0038 0.004 0.0182 -0.0046 0.0294 0.0255 0.0011 0.0284 0.0406 -0.0065 0.0256 0.0057 0.0065 -0.0198 -0.0098 0.0157 0.01 -0.0007 0.0006 0.027 0.0384 -0.0226 0.0059 0.0192 -0.0204 0.0084 0.0037 0.0037 0.0038 0.0037 0.0044 0.0042 0.004 0.0046 0.0044 0.0054 0.0047 0.0045 0.0047 0.0043 0.0047 0.0042 0.0049 0.0043 0.0039 0.0039 0.0046 0.0042 0.004 0.0045 0.0041 0.0044 0.0042 0.0041 0.0046 0.0045 0.0039 0.0043 icdi ccyy 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 mm 1992 1992 1992 1992 1992 1993 1993 1993 1993 1993 1993 1993 1993 1993 1993 1993 1993 1994 1994 1994 1994 1994 1994 1994 1994 1994 1994 1994 1994 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1996 1996 1996 1996 1996 1996 1996 1996 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 ret exret mrp smb hml mom rf -0.008911 -0.011511 -0.0234 -0.0007 -0.0103 -0.0032 0.001429 -0.001171 0.0098 0.0059 -0.0016 0.013 0.011 0.0087 0.0086 0.0213 -0.0206 0.027 0.029674 0.027374 0.0379 0.0355 -0.0163 -0.0022 0.00352 0.00072 0.0148 0.0162 0.025 0.0451 -0.018287 -0.020587 0.0101 0.0206 0.0576 0.0477 -0.02451 -0.02671 0.0033 -0.0337 0.0653 0.0315 0.004422 0.001922 0.0225 0.0034 0.0126 0.0368 -0.058291 -0.060691 -0.0279 -0.0061 0.0266 0.0037 0.027748 0.025548 0.0272 0.0205 -0.0342 0.0025 -0.038006 -0.040506 0.0026 -0.0033 0.0262 0.045 -0.048701 -0.051101 -0.0032 0.0106 0.0292 0.032 0.036405 0.033905 0.0368 0.0006 0.0006 0.0248 -0.021186 -0.023786 -0.0019 0.0314 -0.0022 0.0337 0.058559 0.056359 0.0159 0.0171 -0.0236 -0.0271 0.020213 0.017713 -0.0198 -0.0132 -0.0079 -0.0475 0.000938 -0.001362 0.0171 0.0131 0.0032 0.0233 0.020921 0.018421 0.0289 0.0027 0.0158 0.001 -0.005123 -0.007223 -0.0262 0.0266 -0.0125 -0.0029 -0.037487 -0.040187 -0.0484 -0.0101 0.0151 -0.013 0.009688 0.006988 0.0072 -0.0084 0.0149 0.0036 0.011727 0.008527 0.0063 -0.02 0.0024 -0.0219 -0.010327 -0.013427 -0.0305 -0.0046 0.0181 -0.0085 0.017131 0.014331 0.0276 -0.0182 0.0097 0.0014 0.090526 0.086826 0.0391 0.0124 -0.0292 0.0157 -0.013031 -0.016731 -0.0224 0.0261 -0.016 0.0132 0.013752 0.009952 0.0111 -0.0231 -0.0179 0.0145 -0.017442 -0.021142 -0.0408 -0.0025 0.0009 -0.0016 0.009471 0.005071 0.0083 0.0012 -0.0013 0.0344 0.037811 0.033611 0.0164 -0.0332 0.0255 -0.0185 0.023011 0.019011 0.0357 -0.0025 0.0018 -0.0038 0.029991 0.025391 0.0224 -0.0028 -0.0227 0.004 0.002745 -0.001655 0.0205 -0.0041 0.0173 0.0182 0.041058 0.035658 0.0287 -0.0224 0.0183 -0.0046 0.01227 0.00757 0.0261 0.0297 -0.0279 0.0294 0.017391 0.012891 0.0362 0.0222 -0.0221 0.0255 0.009402 0.004702 0.0047 0.0168 0.0197 0.0011 0.044877 0.040577 0.0321 -0.0217 -0.0068 0.0284 -0.010586 -0.015286 -0.0158 -0.0404 0.0019 0.0406 0.022222 0.018022 0.0387 -0.008 0.0024 -0.0065 0.039932 0.035032 0.0105 0.0048 0.0116 0.0256 0.031431 0.027131 0.0238 -0.0249 0.0051 0.0057 0.01684 0.01294 0.0122 0.0213 -0.0233 0.0065 0.010252 0.006352 0.0073 0.0139 0.0095 -0.0198 0.010972 0.006372 0.0205 0.0499 -0.0419 -0.0098 0.035659 0.031459 0.0225 0.0323 -0.0137 0.0157 0.014222 0.010222 -0.0117 -0.0392 0.0249 0.01 -0.018519 -0.023019 -0.0578 -0.0357 0.0444 -0.0007 -0.009811 -0.013911 0.0281 0.0228 -0.0051 0.0006 0.0026 0.0026 0.0023 0.0023 0.0028 0.0023 0.0022 0.0025 0.0024 0.0022 0.0025 0.0024 0.0025 0.0026 0.0022 0.0025 0.0023 0.0025 0.0021 0.0027 0.0027 0.0032 0.0031 0.0028 0.0037 0.0037 0.0038 0.0037 0.0044 0.0042 0.004 0.0046 0.0044 0.0054 0.0047 0.0045 0.0047 0.0043 0.0047 0.0042 0.0049 0.0043 0.0039 0.0039 0.0046 0.0042 0.004 0.0045 0.0041 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 1996 1996 1996 1996 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1998 1998 1998 1998 1998 1998 1998 1998 1998 1998 1998 1998 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 0.034299 0.031852 0.049533 0.028861 0.032984 0.017417 -0.015692 0.003636 0.065942 0.020394 0.040161 -0.012227 0.048208 -0.054273 0.013852 0.014291 -0.03274 0.100809 0.015374 -0.003971 -0.020598 -0.016961 -0.036653 -0.157933 0.030691 0.096935 0.026435 0.0311 -0.000861 -0.064655 -0.034101 0.036329 0.059963 -0.016536 -0.02307 -0.038147 -0.074599 -0.06953 -0.008791 0.062527 -0.070213 -0.075515 0.061881 -0.036215 0.032727 0.057512 -0.013319 0.064117 0.003171 0.084299 0.029899 0.027652 0.045433 0.024261 0.028484 0.013517 -0.019992 -0.000664 0.061042 0.016694 0.035861 -0.016327 0.043808 -0.058473 0.009952 0.009491 -0.03704 0.096909 0.011474 -0.008271 -0.024598 -0.021061 -0.040653 -0.162233 0.026091 0.093735 0.023335 0.0273 -0.004361 -0.068155 -0.038401 0.032629 0.056563 -0.020536 -0.02687 -0.042047 -0.078499 -0.07343 -0.012391 0.058127 -0.074313 -0.079815 0.057181 -0.040815 0.027727 0.053512 -0.018119 0.059117 -0.001929 0.078699 0.0486 0.0097 0.0616 -0.0159 0.0485 -0.0048 -0.0487 0.0382 0.0664 0.0405 0.072 -0.0405 0.0536 -0.0383 0.0272 0.0132 0.0001 0.0689 0.0475 0.0066 -0.0294 0.0286 -0.0271 -0.1612 0.0595 0.0712 0.0587 0.0595 0.0348 -0.0414 0.0337 0.0451 -0.0242 0.0469 -0.0344 -0.014 -0.0268 0.0583 0.0324 0.0785 -0.0445 0.0244 0.0517 -0.0633 -0.043 0.0468 -0.0223 0.071 -0.0564 -0.0292 -0.0083 -0.0398 -0.035 0.0317 -0.0149 -0.026 -0.0028 -0.0512 0.046 0.0145 -0.0236 0.0749 0.0262 -0.0081 -0.0509 -0.0228 -0.0108 0.0034 -0.0135 0.0046 -0.0348 -0.0332 -0.0468 -0.0566 -0.0042 -0.0306 0.0122 -0.003 0.0107 -0.0562 -0.0379 0.0302 0.0353 0.0344 0.0212 -0.0124 0.0318 -0.0678 0.0756 0.0662 0.0465 0.2138 -0.1626 -0.0732 -0.0578 0.1304 -0.0279 -0.0047 -0.0205 -0.0382 -0.0361 0.0459 0.0012 0.0106 -0.0246 0.048 0.0384 -0.0112 -0.0415 0.0083 -0.0055 0.0096 -0.0035 0.0225 0.0121 0.037 -0.0163 -0.0109 0.0188 0.0028 0.0402 -0.0163 -0.0145 0.0537 -0.0349 -0.0302 -0.0357 -0.0482 -0.0608 0.0183 -0.0291 0.027 0.03 -0.0429 0.0077 -0.0125 -0.0305 -0.0335 -0.0793 -0.0887 -0.0068 -0.1205 0.0748 0.0875 0.0543 -0.0891 0.0866 -0.0208 0.0737 0.0519 0.027 0.0384 -0.0226 0.0059 0.0192 -0.0204 0.0084 0.0484 -0.0517 0.0255 0.0377 -0.0256 0.015 -0.0043 0.0042 0.0397 0.0011 -0.0114 0.0212 0.0068 0.0183 0.0734 0.0378 0.0172 -0.0054 -0.0513 0.0122 0.0891 0.0289 -0.0014 -0.0129 -0.0908 -0.0534 0.0457 0.015 0.0312 0.064 0.0545 0.0555 0.1329 0.0174 0.1821 -0.0652 -0.0866 -0.0918 0.1622 -0.001 0.0569 0.023 -0.0466 0.0044 0.0042 0.0041 0.0046 0.0045 0.0039 0.0043 0.0043 0.0049 0.0037 0.0043 0.0041 0.0044 0.0042 0.0039 0.0048 0.0043 0.0039 0.0039 0.0043 0.004 0.0041 0.004 0.0043 0.0046 0.0032 0.0031 0.0038 0.0035 0.0035 0.0043 0.0037 0.0034 0.004 0.0038 0.0039 0.0039 0.0039 0.0036 0.0044 0.0041 0.0043 0.0047 0.0046 0.005 0.004 0.0048 0.005 0.0051 0.0056 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 454 2000 2000 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2002 2002 2002 2002 2002 2002 2002 2002 2002 2002 2002 2002 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 0.006803 0.027081 0.022449 0.00998 -0.032609 0.025536 0.038845 -0.003835 0.036574 0.003714 -0.076781 0.026052 0.109375 0.030576 0.006272 0.016919 0.028897 0.017021 0.020084 -0.036095 -0.053617 0.090827 -0.097279 0.089498 0.056999 -0.013977 0.001703 0.022081 0.017049 0.00608 -0.037009 0.021636 0.035645 -0.006635 0.033574 0.000614 -0.079581 0.023852 0.107675 0.029076 0.004872 0.015619 0.027597 0.015521 0.018684 -0.037395 -0.055117 0.089427 -0.098679 0.088098 0.055799 -0.015077 -0.1064 0.0145 0.033 -0.1017 -0.0733 0.0794 0.0077 -0.0201 -0.0208 -0.0621 -0.0935 0.025 0.0765 0.0161 -0.0176 -0.0226 0.0427 -0.0506 -0.0121 -0.0714 -0.0826 0.0064 -0.101 0.073 0.0596 -0.0542 -0.0348 0.0145 0.0698 -0.0123 0.0054 0.0022 0.0294 0.0678 -0.0405 0.0194 -0.0654 0.0691 0.005 0.0477 0.0111 -0.0159 0.0436 0.0599 -0.0348 0.0334 -0.0499 -0.024 0.0259 -0.0296 0.0334 -0.0065 0.1318 0.0629 -0.0578 0.1367 0.0622 -0.0446 0.028 -0.0271 0.0527 0.0376 0.0181 -0.0705 0.0059 0.0092 0.0356 0.038 0.0103 0.0413 0.0221 0.0195 -0.0352 0.0256 0.0138 -0.065 -0.0199 0.0413 -0.0253 0.0662 -0.2513 0.1266 0.0824 -0.0818 0.0218 0.0036 0.054 0.054 0.1141 -0.0861 -0.0865 -0.0009 0.0375 0.0697 -0.0172 0.0785 0.0306 0.063 0.0326 0.0174 0.0907 -0.0531 -0.1614 0.0961 0.0051 0.005 0.0054 0.0039 0.0044 0.0039 0.0032 0.0028 0.003 0.0031 0.0028 0.0022 0.0017 0.0015 0.0014 0.0013 0.0013 0.0015 0.0014 0.0013 0.0015 0.0014 0.0014 0.0014 0.0012 0.0011 icdi ccyy 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 1986 1986 1986 1986 1986 1986 1986 1986 1986 1986 1986 1986 1987 1987 1987 1987 1987 1987 1987 1987 1987 1987 1987 1987 1988 1988 1988 1988 1988 1988 1988 1988 1988 1988 1988 1988 1989 1989 1989 1989 1989 1989 1989 1989 1989 1989 1989 1989 1990 mm ret exret mrp smb hml mom rf 1 0.021837 0.016237 0.0043 0.0115 0.0053 0.0297 2 0.094488 0.089188 0.0675 -0.0059 -0.0065 0.0279 3 0.105036 0.099036 0.0479 -0.0058 -0.0039 0.0231 4 0.054688 0.049488 -0.0132 0.0278 -0.0271 -0.0055 5 0.077778 0.072878 0.046 -0.0141 -0.0023 0.0205 6 0.043528 0.038328 0.0091 -0.01 0.0136 0.0498 7 -0.113063 -0.118263 -0.0649 -0.0353 0.046 0.018 8 0.04703 0.04243 0.0618 -0.0418 0.0338 -0.0501 9 -0.119385 -0.123885 -0.0837 0.0254 0.0319 -0.0583 10 0.099329 0.094729 0.0448 -0.0248 -0.014 0.0272 11 0.008547 0.004647 0.0113 -0.0202 0.0003 -0.0029 12 -0.036882 -0.041782 -0.0314 0.0009 0.003 0.0028 1 0.195556 0.191356 0.1242 -0.0173 -0.0295 0.0193 2 0.128872 0.124572 0.0433 0.0347 -0.0587 -0.0199 3 0.038419 0.033719 0.0186 0.0057 0.015 0.0162 4 0.002114 -0.002286 -0.0215 -0.0163 -0.0026 0.0022 5 0.006329 0.002529 0.0014 -0.0049 0.0015 -0.0084 6 -0.083857 -0.088657 0.039 -0.0212 0.0093 -0.0014 7 0.006865 0.002265 0.0395 -0.0049 0.0081 0.0271 8 0.085227 0.080527 0.0325 -0.0083 -0.0097 -0.0086 9 0.028272 0.023772 -0.0252 0.0048 0.0009 0.0068 10 -0.320774 -0.326774 -0.2309 -0.0831 0.042 -0.0799 11 -0.076462 -0.079962 -0.0764 0.0255 0.0318 -0.0127 12 0.191025 0.187125 0.0665 0.0004 -0.044 0.0571 1 -0.023184 -0.026084 0.0424 -0.0073 0.0508 -0.0748 2 0.080696 0.076096 0.047 0.0335 -0.0157 -0.0152 3 0.029283 0.024883 -0.0215 0.0625 0.0096 0.0068 4 0.041252 0.036652 0.0064 0.0086 0.0142 0.0231 5 -0.025956 -0.031056 -0.0042 -0.0271 0.0245 0.0068 6 0.088359 0.083459 0.0465 0.0191 -0.0123 -0.0296 7 -0.05799 -0.06309 -0.0123 -0.0025 0.0221 0.0065 8 -0.077975 -0.083875 -0.0338 0.0008 0.0206 0.0039 9 0.050445 0.044245 0.0311 -0.0127 -0.0072 0.0026 10 -0.033898 -0.039998 0.0116 -0.028 0.0172 0.0132 11 -0.013158 -0.018858 -0.0221 -0.0169 0.0124 0.0032 12 0.06458 0.05828 0.0147 0.0187 -0.0155 0.0051 1 0.055954 0.050454 0.0605 -0.0217 0.004 -0.0015 2 0.004076 -0.002024 -0.0225 0.0278 0.0086 0.0092 3 0.041949 0.035249 0.0149 0.0069 0.0043 0.0352 4 0.105195 0.098495 0.0418 -0.0048 -0.0146 0.0177 5 0.089307 0.081407 0.0316 -0.0011 -0.009 0.0157 6 -0.046386 -0.053486 -0.012 -0.0103 0.0195 0.0084 7 0.13009 0.12309 0.0701 -0.0411 -0.0299 0.0551 8 0.04004 0.03264 0.0146 0.0043 0.0064 -0.0017 9 0.041386 0.034886 -0.0081 0.0041 -0.0127 0.0331 10 -0.081331 -0.088131 -0.0362 -0.0304 -0.0077 0.0149 11 0.022133 0.015233 0.011 -0.0125 -0.0126 0.0259 12 0.030506 0.024406 0.0122 -0.024 0.0031 0.0273 1 -0.116597 -0.122297 -0.0758 -0.0134 0.008 -0.0336 0.0056 0.0053 0.006 0.0052 0.0049 0.0052 0.0052 0.0046 0.0045 0.0046 0.0039 0.0049 0.0042 0.0043 0.0047 0.0044 0.0038 0.0048 0.0046 0.0047 0.0045 0.006 0.0035 0.0039 0.0029 0.0046 0.0044 0.0046 0.0051 0.0049 0.0051 0.0059 0.0062 0.0061 0.0057 0.0063 0.0055 0.0061 0.0067 0.0067 0.0079 0.0071 0.007 0.0074 0.0065 0.0068 0.0069 0.0061 0.0057 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 1990 1990 1990 1990 1990 1990 1990 1990 1990 1990 1990 1991 1991 1991 1991 1991 1991 1991 1991 1991 1991 1991 1991 1992 1992 1992 1992 1992 1992 1992 1992 1992 1992 1992 1992 1993 1993 1993 1993 1993 1993 1993 1993 1993 1993 1993 1993 1994 1994 1994 2 0.023781 0.018081 3 0.076655 0.070255 4 -0.055016 -0.061916 5 0.150685 0.143885 6 0.045635 0.039335 7 -0.036053 -0.042853 8 -0.17815 -0.18475 9 -0.125749 -0.131749 10 -0.006849 -0.013649 11 0.04 0.0343 12 0.048438 0.042438 1 0.107868 0.102668 2 0.090493 0.085693 3 0.108193 0.103793 4 -0.038863 -0.044163 5 0.086785 0.082085 6 -0.088929 -0.093129 7 0.093625 0.088725 8 0.071949 0.067349 9 0.016143 0.011543 10 0.08194 0.07774 11 -0.051777 -0.055677 12 0.187526 0.183726 1 0.041877 0.038477 2 0.020097 0.017297 3 -0.08356 -0.08696 4 -0.072646 -0.075846 5 -0.013589 -0.016389 6 -0.071313 -0.074513 7 0.084642 0.081542 8 -0.029767 -0.032367 9 0.052239 0.049639 10 0.069346 0.067046 11 0.138541 0.136241 12 0.057792 0.054992 1 0.024226 0.021926 2 -0.061104 -0.063304 3 0.050385 0.047885 4 -0.046636 -0.049036 5 0.077568 0.075368 6 0.021401 0.018901 7 0.035556 0.033156 8 0.085837 0.083337 9 0.058724 0.056124 10 0.0256 0.0234 11 -0.054082 -0.056582 12 0.073518 0.071218 1 0.017114 0.014614 2 0.027482 0.025382 3 -0.093886 -0.096586 0.0093 0.0177 -0.0351 0.0821 -0.0106 -0.0162 -0.0984 -0.0599 -0.0192 0.0603 0.0235 0.0439 0.0709 0.0244 -0.0019 0.0359 -0.0484 0.0419 0.0223 -0.0157 0.0135 -0.0412 0.1032 -0.005 0.0105 -0.0271 0.0106 0.0037 -0.0224 0.0368 -0.0234 0.0098 0.0086 0.0379 0.0148 0.0101 0.0033 0.0225 -0.0279 0.0272 0.0026 -0.0032 0.0368 -0.0019 0.0159 -0.0198 0.0171 0.0289 -0.0262 -0.0484 0.0095 0.0137 -0.0034 -0.0279 0.0128 -0.0312 -0.0351 -0.0354 -0.0565 0.0018 0.0067 0.0363 0.0394 0.0394 0.0053 -0.0052 0.0008 -0.0095 0.0159 0.0163 0.009 -0.0054 -0.0227 0.0849 0.0086 -0.01 -0.0609 0.0042 -0.031 -0.0039 -0.0007 0.0059 0.0213 0.0355 0.0162 0.0206 -0.0337 0.0034 -0.0061 0.0205 -0.0033 0.0106 0.0006 0.0314 0.0171 -0.0132 0.0131 0.0027 0.0266 -0.0101 0.0051 -0.0281 -0.0251 -0.038 -0.0213 0.0002 0.0157 0.007 0.0023 -0.03 -0.0159 -0.0166 -0.0065 -0.0123 0.0151 -0.0052 0.0115 -0.0131 -0.0079 -0.0117 -0.0046 -0.0191 -0.0403 0.0476 0.0645 0.0352 0.0427 0.0103 0.0325 -0.0057 -0.0103 -0.0016 -0.0206 -0.0163 0.025 0.0576 0.0653 0.0126 0.0266 -0.0342 0.0262 0.0292 0.0006 -0.0022 -0.0236 -0.0079 0.0032 0.0158 -0.0125 0.0151 -0.0046 0.018 0.0247 0.0309 0.024 0.0601 0.0174 0.0575 0.0672 -0.0552 0.0005 -0.065 -0.0499 0.0254 -0.0238 -0.0023 0.0042 0.0431 0.0151 0.017 0.032 0.0136 0.0825 -0.025 -0.0064 -0.0028 -0.0255 -0.0001 -0.0056 0.0145 -0.0032 0.013 0.027 -0.0022 0.0451 0.0477 0.0315 0.0368 0.0037 0.0025 0.045 0.032 0.0248 0.0337 -0.0271 -0.0475 0.0233 0.001 -0.0029 -0.013 0.0057 0.0064 0.0069 0.0068 0.0063 0.0068 0.0066 0.006 0.0068 0.0057 0.006 0.0052 0.0048 0.0044 0.0053 0.0047 0.0042 0.0049 0.0046 0.0046 0.0042 0.0039 0.0038 0.0034 0.0028 0.0034 0.0032 0.0028 0.0032 0.0031 0.0026 0.0026 0.0023 0.0023 0.0028 0.0023 0.0022 0.0025 0.0024 0.0022 0.0025 0.0024 0.0025 0.0026 0.0022 0.0025 0.0023 0.0025 0.0021 0.0027 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 480 1994 1994 1994 1994 1994 1994 1994 1994 1994 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1998 1998 1998 1998 1998 4 0.004819 0.002119 5 -0.028177 -0.031377 6 -0.022209 -0.025309 7 0.032177 0.029377 8 0.07824 0.07454 9 0.081633 0.077933 10 0.074423 0.070623 11 -0.042439 -0.046139 12 0.013587 0.009187 1 -0.048482 -0.052682 2 0.06103 0.05703 3 0.046438 0.041838 4 0.04942 0.04502 5 0.02643 0.02103 6 0.122659 0.117959 7 0.090492 0.085992 8 -0.002294 -0.006994 9 0.031813 0.027513 10 -0.04792 -0.05262 11 0.081545 0.077345 12 -0.063418 -0.068318 1 -0.052919 -0.057219 2 0.00133 -0.00257 3 0.011957 0.008057 4 0.170678 0.166078 5 0.05757 0.05337 6 -0.042771 -0.046771 7 -0.165066 -0.169566 8 0.08536 0.08126 9 0.115322 0.110922 10 -0.057727 -0.061927 11 -0.036448 -0.040548 12 0.013564 0.008964 1 0.00779 0.00329 2 -0.119609 -0.123509 3 -0.107671 -0.111971 4 -0.02175 -0.02605 5 0.178401 0.173501 6 0.050314 0.046614 7 0.101369 0.097069 8 0.008544 0.004444 9 0.091259 0.086859 10 -0.101623 -0.105823 11 -0.057345 -0.061245 12 0.004038 -0.000762 1 -0.038197 -0.042497 2 0.097278 0.093378 3 0.011793 0.007893 4 0.004019 -0.000281 5 -0.084868 -0.088868 0.0072 0.0063 -0.0305 0.0276 0.0391 -0.0224 0.0111 -0.0408 0.0083 0.0164 0.0357 0.0224 0.0205 0.0287 0.0261 0.0362 0.0047 0.0321 -0.0158 0.0387 0.0105 0.0238 0.0122 0.0073 0.0205 0.0225 -0.0117 -0.0578 0.0281 0.0486 0.0097 0.0616 -0.0159 0.0485 -0.0048 -0.0487 0.0382 0.0664 0.0405 0.072 -0.0405 0.05