Table 4
Open in new tab

Portfolio regressions, benchmark

 (1)(2)(3)(4)(5)
 OLSIVIVIVIV
|$z_{i,n,t-1}$|0.930***0.948***0.655***0.950***0.951***
 (0.004)(0.013)(0.062)(0.014)(0.013)
|${\it val}_{i,n,t}$|0.423***0.293*** 0.296***0.298***
 (0.027)(0.066) (0.067)(0.066)
|${\it ER}_{i,n,t}$|8.243***9.403***9.403***9.388***8.970***
 (0.817)(2.742)(2.742)(3.245)(2.833)
|$z^{bh}_{i,n,t}$|  0.293***  
   (0.066)  
|$\widehat{\it risk}_{i,n,t+1}$|   –1.893* 
    (1.100) 
|${\it risk}_{i,n,t+1}$|    –1.738***
     (0.655)
Observations154,407142,758142,758141,478142,315
|$R^2$|.99.87.87.87.87
 (1)(2)(3)(4)(5)
 OLSIVIVIVIV
|$z_{i,n,t-1}$|0.930***0.948***0.655***0.950***0.951***
 (0.004)(0.013)(0.062)(0.014)(0.013)
|${\it val}_{i,n,t}$|0.423***0.293*** 0.296***0.298***
 (0.027)(0.066) (0.067)(0.066)
|${\it ER}_{i,n,t}$|8.243***9.403***9.403***9.388***8.970***
 (0.817)(2.742)(2.742)(3.245)(2.833)
|$z^{bh}_{i,n,t}$|  0.293***  
   (0.066)  
|$\widehat{\it risk}_{i,n,t+1}$|   –1.893* 
    (1.100) 
|${\it risk}_{i,n,t+1}$|    –1.738***
     (0.655)
Observations154,407142,758142,758141,478142,315
|$R^2$|.99.87.87.87.87

Clustered standard errors by months are in parentheses. The table reports results from regressions with 36 countries over the interval 2002:01–2016:07. The regressions include a fund-country fixed effect. In columns 2–5, the instruments are |${\it val}_{i,n,t-1}$|⁠, |$e_{i,n,t}$|⁠, |$\Delta e_{i,n,t}$|⁠, |$\Delta d_{i,n,t}$|⁠, |$y_{i,n,t}$|⁠, |$b_{i,n,t}$|⁠, |$h_{i,n,t}$|⁠, |$\Delta h_{i,n,t}$|⁠. |$^{*}$||$p<.10$|⁠; |$^{**}$||$p<.05$|⁠; |$^{***}$||$p<.01$|⁠.

Table 4
Open in new tab

Portfolio regressions, benchmark

 (1)(2)(3)(4)(5)
 OLSIVIVIVIV
|$z_{i,n,t-1}$|0.930***0.948***0.655***0.950***0.951***
 (0.004)(0.013)(0.062)(0.014)(0.013)
|${\it val}_{i,n,t}$|0.423***0.293*** 0.296***0.298***
 (0.027)(0.066) (0.067)(0.066)
|${\it ER}_{i,n,t}$|8.243***9.403***9.403***9.388***8.970***
 (0.817)(2.742)(2.742)(3.245)(2.833)
|$z^{bh}_{i,n,t}$|  0.293***  
   (0.066)  
|$\widehat{\it risk}_{i,n,t+1}$|   –1.893* 
    (1.100) 
|${\it risk}_{i,n,t+1}$|    –1.738***
     (0.655)
Observations154,407142,758142,758141,478142,315
|$R^2$|.99.87.87.87.87
 (1)(2)(3)(4)(5)
 OLSIVIVIVIV
|$z_{i,n,t-1}$|0.930***0.948***0.655***0.950***0.951***
 (0.004)(0.013)(0.062)(0.014)(0.013)
|${\it val}_{i,n,t}$|0.423***0.293*** 0.296***0.298***
 (0.027)(0.066) (0.067)(0.066)
|${\it ER}_{i,n,t}$|8.243***9.403***9.403***9.388***8.970***
 (0.817)(2.742)(2.742)(3.245)(2.833)
|$z^{bh}_{i,n,t}$|  0.293***  
   (0.066)  
|$\widehat{\it risk}_{i,n,t+1}$|   –1.893* 
    (1.100) 
|${\it risk}_{i,n,t+1}$|    –1.738***
     (0.655)
Observations154,407142,758142,758141,478142,315
|$R^2$|.99.87.87.87.87

Clustered standard errors by months are in parentheses. The table reports results from regressions with 36 countries over the interval 2002:01–2016:07. The regressions include a fund-country fixed effect. In columns 2–5, the instruments are |${\it val}_{i,n,t-1}$|⁠, |$e_{i,n,t}$|⁠, |$\Delta e_{i,n,t}$|⁠, |$\Delta d_{i,n,t}$|⁠, |$y_{i,n,t}$|⁠, |$b_{i,n,t}$|⁠, |$h_{i,n,t}$|⁠, |$\Delta h_{i,n,t}$|⁠. |$^{*}$||$p<.10$|⁠; |$^{**}$||$p<.05$|⁠; |$^{***}$||$p<.01$|⁠.

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