Goodness of fit for different reference points
The table shows goodness-of-fit measures for models based on different reference points. R2 is the model’s adjusted R2, F-stat, the F-statistic; AIC, the Aikake information criterion; BIC, the Bayesian information criterion. Panel A displays results for anticipated outcomes and Panel B for experienced outcomes.
| Panel A: Anticipated outcomes . | ||||
|---|---|---|---|---|
| Reference point . | R2 . | F-stat . | AIC . | BIC . |
| Zero | 0.187 | 11.74 | 4,086.65 | 4,169.62 |
| (Rank) | (1) | (3) | (1) | (1) |
| Interest rate | 0.187 | 11.75 | 4,087.31 | 4,170.28 |
| (Rank) | (1) | (2) | (3) | (3) |
| Inflation | 0.187 | 11.74 | 4,086.68 | 4,169.65 |
| (Rank) | (1) | (3) | (2) | (2) |
| Market expectations | 0.149 | 11.31 | 4173.71 | 4,256.69 |
| (Rank) | (5) | (5) | (5) | (5) |
| Individual benchmark | 0.186 | 12.02 | 4,090.91 | 4,173.88 |
| (Rank) | (4) | (1) | (4) | (4) |
| Panel B: Experienced outcomes | ||||
| Zero | 0.569 | 60.52 | 5,028.98 | 5,111.94 |
| (Rank) | (1) | (2) | (1) | (1) |
| Interest rate | 0.569 | 60.49 | 5,028.98 | 5,111.94 |
| (Rank) | (1) | (3) | (1) | (1) |
| Inflation | 0.569 | 60.49 | 5,028.98 | 5,111.94 |
| (Rank) | (1) | (3) | (1) | (1) |
| Market past return | 0.521 | 55.80 | 5,226.57 | 5,309.52 |
| (Rank) | (6) | (5) | (6) | (6) |
| Individual benchmark | 0.567 | 62.23 | 5,038.86 | 5,121.81 |
| (Rank) | (4) | (1) | (4) | (4) |
| Portfolio expectations | 0.565 | 55.56 | 5,044.99 | 5,127.94 |
| (Rank) | (5) | (6) | (5) | (5) |
| Panel A: Anticipated outcomes . | ||||
|---|---|---|---|---|
| Reference point . | R2 . | F-stat . | AIC . | BIC . |
| Zero | 0.187 | 11.74 | 4,086.65 | 4,169.62 |
| (Rank) | (1) | (3) | (1) | (1) |
| Interest rate | 0.187 | 11.75 | 4,087.31 | 4,170.28 |
| (Rank) | (1) | (2) | (3) | (3) |
| Inflation | 0.187 | 11.74 | 4,086.68 | 4,169.65 |
| (Rank) | (1) | (3) | (2) | (2) |
| Market expectations | 0.149 | 11.31 | 4173.71 | 4,256.69 |
| (Rank) | (5) | (5) | (5) | (5) |
| Individual benchmark | 0.186 | 12.02 | 4,090.91 | 4,173.88 |
| (Rank) | (4) | (1) | (4) | (4) |
| Panel B: Experienced outcomes | ||||
| Zero | 0.569 | 60.52 | 5,028.98 | 5,111.94 |
| (Rank) | (1) | (2) | (1) | (1) |
| Interest rate | 0.569 | 60.49 | 5,028.98 | 5,111.94 |
| (Rank) | (1) | (3) | (1) | (1) |
| Inflation | 0.569 | 60.49 | 5,028.98 | 5,111.94 |
| (Rank) | (1) | (3) | (1) | (1) |
| Market past return | 0.521 | 55.80 | 5,226.57 | 5,309.52 |
| (Rank) | (6) | (5) | (6) | (6) |
| Individual benchmark | 0.567 | 62.23 | 5,038.86 | 5,121.81 |
| (Rank) | (4) | (1) | (4) | (4) |
| Portfolio expectations | 0.565 | 55.56 | 5,044.99 | 5,127.94 |
| (Rank) | (5) | (6) | (5) | (5) |
Goodness of fit for different reference points
The table shows goodness-of-fit measures for models based on different reference points. R2 is the model’s adjusted R2, F-stat, the F-statistic; AIC, the Aikake information criterion; BIC, the Bayesian information criterion. Panel A displays results for anticipated outcomes and Panel B for experienced outcomes.
| Panel A: Anticipated outcomes . | ||||
|---|---|---|---|---|
| Reference point . | R2 . | F-stat . | AIC . | BIC . |
| Zero | 0.187 | 11.74 | 4,086.65 | 4,169.62 |
| (Rank) | (1) | (3) | (1) | (1) |
| Interest rate | 0.187 | 11.75 | 4,087.31 | 4,170.28 |
| (Rank) | (1) | (2) | (3) | (3) |
| Inflation | 0.187 | 11.74 | 4,086.68 | 4,169.65 |
| (Rank) | (1) | (3) | (2) | (2) |
| Market expectations | 0.149 | 11.31 | 4173.71 | 4,256.69 |
| (Rank) | (5) | (5) | (5) | (5) |
| Individual benchmark | 0.186 | 12.02 | 4,090.91 | 4,173.88 |
| (Rank) | (4) | (1) | (4) | (4) |
| Panel B: Experienced outcomes | ||||
| Zero | 0.569 | 60.52 | 5,028.98 | 5,111.94 |
| (Rank) | (1) | (2) | (1) | (1) |
| Interest rate | 0.569 | 60.49 | 5,028.98 | 5,111.94 |
| (Rank) | (1) | (3) | (1) | (1) |
| Inflation | 0.569 | 60.49 | 5,028.98 | 5,111.94 |
| (Rank) | (1) | (3) | (1) | (1) |
| Market past return | 0.521 | 55.80 | 5,226.57 | 5,309.52 |
| (Rank) | (6) | (5) | (6) | (6) |
| Individual benchmark | 0.567 | 62.23 | 5,038.86 | 5,121.81 |
| (Rank) | (4) | (1) | (4) | (4) |
| Portfolio expectations | 0.565 | 55.56 | 5,044.99 | 5,127.94 |
| (Rank) | (5) | (6) | (5) | (5) |
| Panel A: Anticipated outcomes . | ||||
|---|---|---|---|---|
| Reference point . | R2 . | F-stat . | AIC . | BIC . |
| Zero | 0.187 | 11.74 | 4,086.65 | 4,169.62 |
| (Rank) | (1) | (3) | (1) | (1) |
| Interest rate | 0.187 | 11.75 | 4,087.31 | 4,170.28 |
| (Rank) | (1) | (2) | (3) | (3) |
| Inflation | 0.187 | 11.74 | 4,086.68 | 4,169.65 |
| (Rank) | (1) | (3) | (2) | (2) |
| Market expectations | 0.149 | 11.31 | 4173.71 | 4,256.69 |
| (Rank) | (5) | (5) | (5) | (5) |
| Individual benchmark | 0.186 | 12.02 | 4,090.91 | 4,173.88 |
| (Rank) | (4) | (1) | (4) | (4) |
| Panel B: Experienced outcomes | ||||
| Zero | 0.569 | 60.52 | 5,028.98 | 5,111.94 |
| (Rank) | (1) | (2) | (1) | (1) |
| Interest rate | 0.569 | 60.49 | 5,028.98 | 5,111.94 |
| (Rank) | (1) | (3) | (1) | (1) |
| Inflation | 0.569 | 60.49 | 5,028.98 | 5,111.94 |
| (Rank) | (1) | (3) | (1) | (1) |
| Market past return | 0.521 | 55.80 | 5,226.57 | 5,309.52 |
| (Rank) | (6) | (5) | (6) | (6) |
| Individual benchmark | 0.567 | 62.23 | 5,038.86 | 5,121.81 |
| (Rank) | (4) | (1) | (4) | (4) |
| Portfolio expectations | 0.565 | 55.56 | 5,044.99 | 5,127.94 |
| (Rank) | (5) | (6) | (5) | (5) |
This PDF is available to Subscribers Only
View Article Abstract & Purchase OptionsFor full access to this pdf, sign in to an existing account, or purchase an annual subscription.
