Ch财务管理以EXCEL为分析工具(表样)_07_Cost_of_Capital.xls

COST OF CAPITAL Static CAPM Using Fama MacBeth Method Inputs Market Portfolio Benchmark2 Asset Type2 StockStockStockStockStockStock BarrickHansonIBMNokiaTelefonosYPF Monthly Returns Dec 2006 3 50 0 24 2 06 8 76 8 63 0 50 Nov 2006 2 37 4 88 5 69 0 51 9 01 0 95 Oct 20061 79 3 78 0 12 1 70 1 08 3 49 Sep 20060 92 3 49 12 69 0 93 3 14 7 02 Aug 2006 8 23 14 36 1 20 5 68 6 76 3 83 Jul 20068 68 3 72 5 00 5 20 3 02 2 00 Jun 20064 06 0 88 0 78 2 02 12 51 9 98 May 2006 3 30 0 32 3 86 5 67 6 23 0 03 Apr 20060 80 8 40 2 61 5 23 9 99 17 69 Mar 200611 90 3 92 0 16 9 38 2 17 3 07 Feb 2006 0 48 7 12 2 78 13 88 1 21 2 81 Jan 2006 13 00 5 15 1 05 1 08 5 72 0 89 Dec 200512 90 5 55 1 09 0 46 3 81 3 63 Nov 20054 72 7 22 7 54 7 16 10 88 11 58 Oct 20055 80 1 22 8 83 1 55 11 10 0 88 Sep 2005 13 06 2 72 2 07 0 56 5 09 11 61 Aug 200510 78 0 94 0 49 7 22 11 77 8 89 Jul 20057 01 5 52 3 17 1 11 0 33 12 07 Jun 2005 2 11 5 30 12 48 4 14 1 97 1 06 May 20058 89 3 30 1 78 1 30 2 18 8 57 Apr 20053 48 0 39 0 82 5 49 10 11 0 65 Mar 2005 6 82 0 32 16 42 6 55 1 86 3 40 Feb 2005 3 78 3 28 1 29 4 39 11 23 14 72 Jan 200513 88 4 21 0 72 5 63 5 28 31 78 Dec 2004 9 74 8 86 5 23 2 47 2 82 6 38 Nov 2004 1 50 6 76 4 61 3 12 10 45 2 83 Oct 20049 71 8 98 5 20 4 88 2 23 6 99 Sep 20047 02 0 26 4 68 12 37 6 07 0 00 Aug 20045 18 7 96 1 24 15 57 0 61 5 71 Jul 20044 62 1 00 2 53 2 22 4 84 2 81 Jun 2004 3 22 1 37 1 22 20 10 7 14 3 53 May 2004 4 42 9 22 0 50 5 79 0 26 0 31 Apr 20048 05 0 35 0 68 1 92 1 43 1 54 Mar 2004 19 13 1 67 3 99 30 90 2 22 6 90 Feb 200416 30 4 69 4 83 5 08 3 62 4 45 Jan 20043 82 9 27 2 59 5 41 1 30 1 86 Dec 2003 13 27 1 93 7 07 21 52 4 20 1 03 Nov 20031 66 4 11 2 36 5 48 0 68 10 29 Oct 200315 28 2 08 1 37 5 87 2 95 1 67 Sep 20033 41 7 41 1 31 8 92 5 24 23 16 Aug 2003 6 82 1 78 7 70 4 24 1 73 8 96 Jul 200318 05 12 95 1 14 6 44 1 77 4 87 SPDR ETFCRSP VWMRDJ World Stock Index Market Portfolio Benchmark StockUS PortCountry Port Asset Type Jun 2003 4 35 3 25 1 52 6 87 1 74 0 82 May 20032 37 2 30 6 30 8 93 4 63 7 96 Apr 200317 66 3 24 3 90 8 86 0 30 25 69 Mar 2003 3 89 18 50 8 25 18 30 1 70 14 65 Feb 2003 3 50 4 25 0 62 8 02 3 11 19 28 Jan 2003 2 03 6 93 0 13 8 00 2 87 14 21 Dec 20026 77 0 70 0 90 7 21 6 39 13 27 Nov 20025 80 11 97 10 84 19 31 0 07 8 24 Oct 2002 2 65 9 99 10 31 15 60 5 68 24 30 Sep 2002 3 11 10 94 35 38 25 49 8 31 4 27 Aug 2002 3 20 15 58 22 64 0 34 4 07 14 01 Jul 20024 87 1 47 7 31 7 21 2 53 21 49 Jun 2002 19 31 12 19 2 22 14 43 9 94 4 42 May 2002 12 87 7 43 10 51 4 35 6 92 4 52 Apr 20029 10 5 21 3 76 14 64 8 07 26 09 Mar 20028 13 2 57 19 47 21 61 6 32 17 48 Feb 20022 87 14 66 5 99 0 81 6 21 5 53 Jan 20025 56 1 65 8 94 11 41 0 25 2 09 Dec 20017 22 2 13 10 81 4 42 9 67 11 52 Nov 20015 37 0 33 4 65 6 62 5 27 23 08 Oct 2001 2 18 2 12 7 09 12 16 1 63 8 78 Sep 2001 10 18 2 32 17 83 31 07 5 55 0 34 Aug 20018 30 9 69 8 23 0 57 10 83 16 65 Jul 20017 57 9 15 4 87 27 83 5 28 9 18 Jun 2001 1 69 3 67 7 31 1 73 1 18 5 23 May 2001 8 19 5 01 1 52 24 11 1 70 20 64 Apr 20011 64 5 40 2 78 14 46 0 28 3 51 Mar 200114 31 20 00 19 70 42 45 9 67 2 51 Feb 2001 11 76 11 36 3 72 10 21 1 45 4 61 Jan 20014 71 1 39 10 70 35 94 1 35 1 94 Dec 2000 5 56 6 42 31 76 21 04 20 25 0 19 Nov 20009 21 27 73 9 09 1 76 3 15 3 05 Oct 200012 98 2 14 4 96 0 00 13 09 1 11 Sep 2000 12 31 5 60 12 53 4 57 1 47 3 10 Aug 2000 4 39 5 55 14 70 8 66 1 97 11 04 Jul 20000 07 2 26 17 74 1 71 4 10 3 34 Jun 2000 12 28 17 19 2 46 12 87 8 57 4 37 May 20000 30 0 70 2 10 2 89 18 03 16 06 Apr 20008 46 4 28 3 64 7 24 17 18 4 03 Mar 20007 12 5 89 5 81 1 01 11 75 8 81 Feb 2000 3 79 10 99 15 20 12 24 1 64 0 16 Jan 2000 0 40 11 46 8 37 7 30 23 48 1 87 Dec 1999 7 42 10 69 4 06 3 16 5 32 4 91 Nov 1999 1 75 2 60 4 67 36 48 21 98 4 06 Oct 1999 0 66 7 14 5 04 21 15 8 29 0 25 Sep 1999 15 78 0 17 18 80 28 56 19 88 0 30 Aug 199912 22 8 64 2 86 7 50 3 61 0 79 Jul 19994 37 4 57 0 80 1 72 1 44 2 69 Jun 1999 4 19 1 39 2 76 7 10 6 54 6 73 May 199912 33 2 05 11 42 28 52 1 58 9 82 Apr 1999 13 24 6 93 11 03 3 95 5 57 1 31 Mar 199917 88 12 46 18 02 4 76 14 69 32 44 Feb 1999 3 51 8 31 4 41 15 55 16 17 8 86 Jan 1999 7 22 24 04 7 24 5 88 11 77 8 31 Dec 1998 2 22 16 02 0 61 19 65 5 05 14 08 Nov 1998 2 50 5 04 11 66 22 93 5 51 6 11 Oct 1998 5 65 5 15 11 36 5 35 11 69 3 58 Sep 19986 88 13 89 15 56 18 82 19 84 11 26 Aug 199853 92 27 70 14 10 17 24 24 46 17 55 Jul 1998 20 64 4 41 14 86 23 44 28 42 23 59 Jun 1998 14 94 15 04 15 41 19 87 3 59 2 74 May 19980 00 2 53 2 28 12 06 2 20 3 36 Apr 1998 13 39 0 61 1 59 2 89 16 15 10 21 Mar 19983 76 0 66 11 54 23 89 0 46 2 62 Feb 199812 00 19 98 0 53 8 52 11 94 7 49 Jan 1998 0 35 13 76 5 97 32 68 3 03 4 62 Dec 19974 00 3 28 5 62 9 12 12 21 10 97 Nov 199712 48 11 51 4 46 16 37 14 11 1 70 Oct 1997 18 69 1 96 11 39 5 71 14 75 5 77 Sep 1997 16 72 5 73 7 06 5 96 16 44 13 10 Aug 19978 52 2 17 4 55 21 20 13 84 13 04 Jul 1997 0 30 5 15 3 96 9 59 17 26 1 47 Jun 19974 33 1 22 17 19 16 20 15 67 5 11 May 1997 13 37 2 43 4 32 11 58 9 16 2 90 Apr 199713 54 5 68 7 78 2 31 7 44 8 97 Mar 1997 5 80 6 56 16 94 10 90 7 03 4 24 Feb 1997 15 92 2 28 4 51 0 32 0 93 0 47 Jan 19975 12 58 44 8 15 12 57 3 36 3 76 Monthly Excess Returns Dec 2006 Nov 2006 Oct 2006 Sep 2006 Aug 2006 Jul 2006 Jun 2006 May 2006 Apr 2006 Mar 2006 Feb 2006 Jan 2006 Dec 2005 Nov 2005 Oct 2005 Sep 2005 Aug 2005 Jul 2005 Jun 2005 May 2005 Apr 2005 Mar 2005 Feb 2005 Jan 2005 Dec 2004 Nov 2004 Oct 2004 Sep 2004 Aug 2004 Jul 2004 Jun 2004 May 2004 Apr 2004 Mar 2004 Feb 2004 Jan 2004 Dec 2003 Nov 2003 Oct 2003 Sep 2003 Aug 2003 Jul 2003 Jun 2003 May 2003 Apr 2003 Mar 2003 Feb 2003 Jan 2003 Dec 2002 Nov 2002 Oct 2002 Sep 2002 Aug 2002 Jul 2002 Jun 2002 May 2002 Apr 2002 Mar 2002 Feb 2002 Jan 2002 Dec 2001 Nov 2001 Oct 2001 Sep 2001 Aug 2001 Jul 2001 Jun 2001 May 2001 Apr 2001 Mar 2001 Feb 2001 Jan 2001 Dec 2000 Nov 2000 Oct 2000 Sep 2000 Aug 2000 Jul 2000 Jun 2000 May 2000 Apr 2000 Mar 2000 Feb 2000 Jan 2000 Dec 1999 Nov 1999 Oct 1999 Sep 1999 Aug 1999 Jul 1999 Jun 1999 May 1999 Apr 1999 Mar 1999 Feb 1999 Jan 1999 Dec 1998 Nov 1998 Oct 1998 Sep 1998 Aug 1998 Jul 1998 Jun 1998 May 1998 Apr 1998 Mar 1998 Feb 1998 Jan 1998 Dec 1997 Nov 1997 Oct 1997 Sep 1997 Aug 1997 Jul 1997 Jun 1997 May 1997 Apr 1997 Mar 1997 Feb 1997 Jan 1997 CAPM Beta from the First Pass Time Series Regression 5 Yr Estimation Per Beg Mon End MonBarrickHansonIBMNokiaTelefonosYPF Dec 2001 Nov 2006 Nov 2001 Oct 2006 Oct 2001 Sep 2006 Sep 2001 Aug 2006 Aug 2001 Jul 2006 Jul 2001 Jun 2006 Jun 2001 May 2006 May 2001 Apr 2006 Apr 2001 Mar 2006 Mar 2001 Feb 2006 Feb 2001 Jan 2006 Jan 2001 Dec 2005 Dec 2000 Nov 2005 Nov 2000 Oct 2005 Oct 2000 Sep 2005 Sep 2000 Aug 2005 Aug 2000 Jul 2005 Jul 2000 Jun 2005 Jun 2000 May 2005 May 2000 Apr 2005 Apr 2000 Mar 2005 Mar 2000 Feb 2005 Feb 2000 Jan 2005 Jan 2000 Dec 2004 Dec 1999 Nov 2004 Nov 1999 Oct 2004 Oct 1999 Sep 2004 Sep 1999 Aug 2004 Aug 1999 Jul 2004 Jul 1999 Jun 2004 Jun 1999 May 2004 May 1999 Apr 2004 Apr 1999 Mar 2004 Mar 1999 Feb 2004 Feb 1999 Jan 2004 Jan 1999 Dec 2003 Dec 1998 Nov 2003 Nov 1998 Oct 2003 Oct 1998 Sep 2003 Sep 1998 Aug 2003 Aug 1998 Jul 2003 Jul 1998 Jun 2003 Jun 1998 May 2003 May 1998 Apr 2003 Apr 1998 Mar 2003 Mar 1998 Feb 2003 Feb 1998 Jan 2003 Jan 1998 Dec 2002 Dec 1997 Nov 2002 Nov 1997 Oct 2002 Oct 1997 Sep 2002 Sep 1997 Aug 2002 Aug 1997 Jul 2002 Jul 1997 Jun 2002 Jun 1997 May 2002 May 1997 Apr 2002 Apr 1997 Mar 2002 Mar 1997 Feb 2002 Feb 1997 Jan 2002 Jan 1997 Dec 2001 Average Beta Risk Premium and Intercept from the Second Pass Cross Sectional Regression in the Following Month Following MonthRisk PremIntercept Dec 2006 Nov 2006 Oct 2006 Sep 2006 Aug 2006 Jul 2006 Jun 2006 May 2006 Apr 2006 Mar 2006 Feb 2006 Jan 2006 Dec 2005 Nov 2005 Oct 2005 Sep 2005 Aug 2005 Jul 2005 Jun 2005 May 2005 Apr 2005 Mar 2005 Feb 2005 Jan 2005 Dec 2004 Nov 2004 Oct 2004 Sep 2004 Aug 2004 Jul 2004 Jun 2004 May 2004 Apr 2004 Mar 2004 Feb 2004 Jan 2004 Dec 2003 Nov 2003 Oct 2003 Sep 2003 Aug 2003 Jul 2003 Jun 2003 May 2003 Apr 2003 Mar 2003 Feb 2003 Jan 2003 Dec 2002 Nov 2002 Oct 2002 Sep 2002 Aug 2002 Jul 2002 Jun 2002 3 00 2 00 1 00 0 00 1 00 2 00 3 00 Risk PremIntercept Static CAPM Est vs Theoret Value Empirical Average vs Theoretical Value May 2002 Apr 2002 Mar 2002 Feb 2002 Jan 2002 Risk PremIntercept Empirical Average DIV 0 Bottom line Static CAPM estimates vs Theoretical Value0 00 vs what they should be if the Static CAPM was true Small GrowthSmall NeutralSmall Value Big Growth Big Neutral Big Value Jan 2007 Exp Return Jan 2007 Exp Return Jan 2007 Riskfree Rate0 44 R2 Explained Variation as a Percentage of Total Variation from the First Pass Time Series Regression 5 Yr Estimation Per Beg Mon End MonBarrickHansonIBMNokiaTelefonosYPF Dec 2001 Nov 2006 Nov 2001 Oct 2006 Oct 2001 Sep 2006 Sep 2001 Aug 2006 Aug 2001 Jul 2006 Jul 2001 Jun 2006 Jun 2001 May 2006 May 2001 Apr 2006 Apr 2001 Mar 2006 Mar 2001 Feb 2006 Feb 2001 Jan 2006 Jan 2001 Dec 2005 Dec 2000 Nov 2005 Nov 2000 Oct 2005 Oct 2000 Sep 2005 Sep 2000 Aug 2005 Aug 2000 Jul 2005 Jul 2000 Jun 2005 Jun 2000 May 2005 May 2000 Apr 2005 3 00 2 00 1 00 0 00 1 00 2 00 3 00 Risk PremIntercept Static CAPM Est vs Theoret Value Empirical Average vs Theoretical Value Apr 2000 Mar 2005 Mar 2000 Feb 2005 Feb 2000 Jan 2005 Jan 2000 Dec 2004 Dec 1999 Nov 2004 Nov 1999 Oct 2004 Oct 1999 Sep 2004 Sep 1999 Aug 2004 Aug 1999 Jul 2004 Jul 1999 Jun 2004 Jun 1999 May 2004 May 1999 Apr 2004 Apr 1999 Mar 2004 Mar 1999 Feb 2004 Feb 1999 Jan 2004 Jan 1999 Dec 2003 Dec 1998 Nov 2003 Nov 1998 Oct 2003 Oct 1998 Sep 2003 Sep 1998 Aug 2003 Aug 1998 Jul 2003 Jul 1998 Jun 2003 Jun 1998 May 2003 May 1998 Apr 2003 Apr 1998 Mar 2003 Mar 1998 Feb 2003 Feb 1998 Jan 2003 Jan 1998 Dec 2002 Dec 1997 Nov 2002 Nov 1997 Oct 2002 Oct 1997 Sep 2002 Sep 1997 Aug 2002 Aug 1997 Jul 2002 Jul 1997 Jun 2002 Jun 1997 May 2002 May 1997 Apr 2002 Apr 1997 Mar 2002 Mar 1997 Feb 2002 Feb 1997 Jan 2002 Jan 1997 Dec 2001 Average R2 R2 Explained Variation as a Percentage of Total Variation from the Second Pass Cross sectional Regression in the Following Month Following MonthR2 Dec 2006 Nov 2006 Oct 2006 Sep 2006 Aug 2006 Jul 2006 Jun 2006 May 2006 Apr 2006 Mar 2006 Feb 2006 Jan 2006 Dec 2005 Nov 2005 Oct 2005 Sep 2005 Aug 2005 Jul 2005 Jun 2005 May 2005 Apr 2005 Mar 2005 Feb 2005 Jan 2005 Dec 2004 Nov 2004 Oct 2004 Sep 2004 Aug 2004 Jul 2004 Jun 2004 May 2004 Apr 2004 Mar 2004 Feb 2004 Jan 2004 Dec 2003 Nov 2003 Oct 2003 Sep 2003 Aug 2003 Jul 2003 Jun 2003 May 2003 Apr 2003 Mar 2003 Feb 2003 Jan 2003 Dec 2002 Nov 2002 Oct 2002 Sep 2002 Aug 2002 Jul 2002 Jun 2002 May 2002 Apr 2002 Mar 2002 Feb 2002 Jan 2002 Average R2 US PortfolioUS PortfolioUS PortfolioUS Portfolio US Portfolio US Portfolio Country Port Country Port Small Growth Small Neutral Small ValueBig GrowthBig NeutralBig ValueAustraliaHong Kong 0 59 0 83 2 08 0 43 1 79 2 79 3 59 6 23 2 58 2 66 3 08 1 42 2 83 1 94 3 38 6 04 5 87 5 01 5 17 3 14 3 08 4 78 8 65 1 10 1 09 1 11 0 87 2 69 2 16 1 86 1 53 0 79 3 22 2 74 2 38 3 45 1 58 0 81 2 23 2 71 5 76 2 73 1 75 1 18 1 26 1 41 1 74 2 44 0 65 0 27 0 24 0 37 0 05 1 67 0 71 0 73 7 71 4 48 4 00 3 12 2 71 1 37 5 49 6 27 0 80 0 94 1 51 0 31 2 34 3 44 9 33 5 08 4 08 5 49 4 95 1 57 1 66 0 84 0 43 1 19 0 42 0 36 0 65 0 33 0 40 1 00 2 05 0 69 8 59 9 37 7 61 1 26 3 87 4 45 7 49 5 80 0 18 0 17 0 32 0 65 1 02 0 43 2 47 1 20 4 96 4 87 3 54 4 26 3 88 2 21 2 64 3 30 3 60 2 86 2 50 0 26 2 81 2 92 5 19 6 91 0 52 0 57 0 39 0 23 1 82 2 20 5 35 2 39 2 03 1 36 0 92 1 63 0 06 0 06 0 95 0 99 6 72 6 86 6 12 4 61 2 66 4 22 2 42 6 19 2 55 4 20 4 60 0 98 1 97 2 63 5 26 3 70 7 31 6 21 5 61 3 92 2 96 3 26 0 10 0 39 6 42 5 65 6 39 1 33 2 95 2 33 1 44 3 73 3 98 2 38 1 84 1 23 2 81 0 06 3 87 3 42 0 39 2 21 3 60 0 81 4 35 3 22 4 90 3 72 5 72 3 05 2 28 2 95 1 78 1 40 0 74 3 62 4 22 2 61 3 87 4 04 2 58 3 63 4 35 2 13 8 13 8 62 9 82 3 45 5 23 5 59 8 33 9 70 3 21 1 17 1 39 1 76 0 89 1 60 6 13 0 65 5 52 4 92 3 82 0 54 2 28 2 95 5 89 1 41 2 05 0 20 0 82 0 18 0 91 0 54 1 20 6 34 9 86 5 22 4 34 4 91 1 67 1 55 0 43 1 76 3 41 4 33 5 21 1 20 2 22 2 99 0 18 0 31 1 02 1 04 0 72 1 40 0 81 1 23 0 86 0 69 3 60 3 37 6 10 0 69 3 17 1 77 4 91 5 04 1 08 0 57 0 36 1 84 0 54 1 08 0 41 6 05 0 44 0 68 0 66 1 20 2 44 1 82 4 26 3 16 3 89 4 32 6 06 1 57 2 12 2 74 0 49 9 62 0 79 2 36 3 96 4 28 4 93 6 53 7 91 2 26 2 91 3 87 4 47 0 86 1 69 2 08 0 38 0 19 8 13 8 23 10 80 5 11 7 42 6 00 8 60 4 79 1 73 1 73 0 90 0 81 1 95 1 49 3 26 5 94 4 53 4 99 6 10 1 80 2 25 3 77 3 11 11 32 8 37 6 22 6 35 2 33 1 72 0 24 0 27 6 50 Static CAPM Using Fama MacBeth Method 2 40 2 51 3 41 1 20 1 36 1 32 3 48 1 18 13 10 10 68 10 40 4 97 7 11 8 05 4 82 8 64 11 21 9 41 9 17 7 59 8 95 9 74 8 47 0 96 2 06 0 63 0 89 1 71 0 01 0 62 2 98 5 08 3 54 2 42 3 46 1 03 3 22 4 22 2 38 1 04 2 28 2 40 1 35 2 66 2 32 5 29 2 78 1 35 9 13 4 09 3 45 6 27 4 52 4 28 1 59 6 45 13 90 7 45 7 72 5 07 6 42 8 11 2 54 6 00 6 88 4 24 0 28 9 62 6 51 3 65 5 29 3 70 8 62 7 66 6 63 10 56 10 32 10 21 5 65 7 49 0 56 0 48 0 86 0 25 0 79 4 80 2 43 4 68 14 61 14 19 14 87 6 01 9 37 12 97 6 33 3 83 7 63 2 78 2 35 7 35 6 43 9 59 5 23 5 52 6 48 3 67 2 53 1 37 0 13 0 27 6 20 3 19 3 56 2 73 3 93 6 92 1 38 5 99 1 19 5 57 8 99 7 49 10 03 3 63 5 18 4 85 4 08 5 50 8 16 1 28 0 45 2 60 0 17 2 39 0 48 3 33 5 15 1 13 2 71 0 87 1 85 1 74 0 23 1 50 6 64 6 80 6 87 0 76 2 93 1 30 1 21 5 11 9 20 7 15 8 96 8 25 5 89 10 00 6 69 10 53 11 16 5 04 4 44 3 30 0 86 3 99 8 38 3 75 17 19 12 93 14 38 8 29 9 04 7 73 11 53 13 47 7 64 2 34 1 19 6 94 3 98 6 70 2 15 6 05 9 43 4 01 1 09 1 68 1 25 1 06 4 98 1 97 6 43 5 18 2 16 1 90 2 01 1 79 2 81 3 24 4 06 4 52 6 30 0 41 1 81 3 78 0 88 0 85 10 10 4 98 5 04 8 91 5 47 5 03 10 77 1 80 7 34 1 49 1 20 8 17 1 76 1 85 10 95 10 95 12 22 0 47 0 40 11 61 0 37 3 18 5 55 1 81 12 32 5 22 6 38 3 73 1 09 1 57 3 93 3 04 2 75 9 18 8 14 0 27 9 10 6 50 3 98 11 39 16 23 4 26 2 53 10 91 3 08 0 37 1 97 1 94 8 11 1 07 1 87 2 19 0 66 1 29 5 12 4 63 7 08 0 20 0 98 6 19 1 87 1 43 5 75 4 13 8 45 5 51 6 26 7 55 8 94 7 06 0 12 5 84 7 23 1 50 2 22 2 97 3 67 4 37 4 31 6 61 17 15 9 03 7 86 4 93 5 87 5 40 12 77 8 67 7 77 5 46 3 64 3 39 0 88 0 03 3 16 10 03 14 24 5 46 4 47 4 27 1 14 4 10 3 17 9 23 13 62 3 74 1 02 8 70 10 66 11 98 1 13 4 13 28 59 15 35 11 44 1 21 4 48 6 97 2 54 3 06 0 65 0 25 0 24 4 78 3 80 3 94 4 14 7 53 17 97 8 43 5 75 7 82 1 97 1 86 5 59 9 70 12 78 6 11 3 32 4 14 2 50 1 97 6 57 11 43 1 13 0 58 3 02 7 01 5 70 4 84 2 18 3 62 0 82 0 80 2 55 1 96 5 66 4 78 0 95 4 62 2 88 3 06 2 84 0 26 2 62 2 16 5 04 0 49 1 24 0 86 0 52 3 13 3 52 2 72 0 36 2 78 6 47 6 00 5 97 6 80 2 66 0 86 5 42 10 27 1 34 1 57 4 45 2 56 0 90 0 23 7 62 7 63 10 03 9 77 8 66 1 78 8 80 8 19 9 82 21 88 0 03 0 20 2 74 4 20 3 69 1 06 5 32 12 74 9 31 6 93 8 12 4 48 0 66 2 15 2 88 0 58 4 63 1 26 0 45 5 66 0 34 1 07 7 17 8 25 6 77 3 30 2 77 8 81 1 83 2 74 0 01 2 02 9 07 5 48 5 40 7 00 5 74 3 89 6 67 0 07 4 85 3 58 2 84 8 23 7 79 4 85 8 54 32 18 8 69 5 57 2 80 7 78 3 95 5 62 8 56 17 11 24 12 18 73 17 13 14 32 17 71 11 19 13 18 7 41 7 67 7 79 6 61 0 50 3 04 3 91 0 15 7 72 0 74 0 90 0 32 5 84 1 57 2 43 0 12 6 88 7 44 4 64 2 57 2 58 2 36 1 02 4 55 14 25 0 78 1 50 2 17 1 19 1 58 0 40 1 48 10 56 4 45 4 54 4 74 4 59 5 17 7 63 0 44 2 48 8 29 7 07 7 18 7 22 7 76 6 87 2 56 21 69 0 32 1 52 0 72 2 96 2 19 0 23 6 49 15 50 2 16 1 08 2 18 0 99 2 93 4 18 2 17 1 55 3 05 0 83 0 40 4 80 3 41 3 26 2 42 2 33 6 09 3 39 2 30 3 46 3 11 2 70 12 98 28 60 8 97 7 87 7 82 5 09 5 95 5 68 6 43 5 62 3 85 3 23 3 19 5 77 3 34 2 96 6 83 13 24 4 93 5 46 5 47 7 75 9 03 6 40 0 55 5 97 3 82 5 72 6 49 4 16 4 64 2 72 4 08 4 46 15 37 9 76 7 86 7 01 5 87 5 91 2 80 12 27 3 10 0 59 0 12 6 73 4 45 1 67 2 97 1 44 8 42 3 23 1 77 5 50 2 59 4 40 0 08 6 39 6 13 0 28 1 21 0 00 0 40 2 10 3 31 0 08 4 23 2 83 3 17 6 59 5 19 3 02 3 86 2 46 Small Growth Small Neutral Small ValueBig GrowthBig NeutralBig ValueAustraliaHong Kong Risk Premium and Intercept from the Second Pass Cross Sectional Regression in the Following Month 3 00 2 00 1 00 0 00 1 00 2 00 3 00 Risk PremIntercept Static CAPM Est vs Theoret Value Empirical Average vs Theoretical Value Using Second Pass Static CAPM Using Theoretical Intercept Risk Premium and First Pass Beta Small Growth Small Neutral Small ValueBig GrowthBig NeutralBig ValueAustraliaHong Kong 3 00 2 00 1 00 0 00 1 00 2 00 3 00 Risk PremIntercept Static CAPM Est vs Theoret Value Empirical Average vs Theoretical Value vs what they should be if the Static CAPM was true R2 Explained Variation as a Percentage of Total Variation from the First Pass Time Series Regression R2 Explained Variation as a Percentage of Total Variation from the Second Pass Cross sectional Regression in the Following Month Country Port Country Port Country Port Country Port BenchmarkBenchmarkBenchmarkBenchmark ItalyJapanNorwayUSSPDR ETF CRSP VWMR DJ World Stk FF Mkt RF 2 72 2 40 5 39 1 08 1 50 1 08 2 16 0 68 5 74 0 45 8 90 2 37 0 78 2 37 3 13 1 95 4 27 1 94 8 84 3 71 1 98 3 71 3 50 3 30 0 67 1 88 7 52 1 95 3 16 1 95 1 14 1 54 3 98 1 68 3 98 2 51 2 70 2 51 2 58 2 09 1 03 0 83 4 06 0 18 2 19 0 18 0 45 0 58 0 20 1 10 2 90 0 04 0 45 0 04 0 14 0 44 2 14 6 28 7 52 3 10 0 26 3 10 4 08 3 53 4 15 2 75 9 82 1 30 3 02 1 30 3 96 0 94 3 08 2 27 11 77 1 91 1 27 1 91 1 63 1 54 1 52 1 02 0 81 0 16 1 65 0 16 0 20 0 50 6 14 4 34 12 09 4 01 0 57 4 01 5 05 3 66 4 39 8 91 4 59 0 35 2 40 0 35 2 68 0 03 1 86 3 64 0 04 4 04 0 19 4 04 4 70 3 73 6 41 0 74 7 15 2 08 4 39 2 08 3 63 2 35 1 46 8 99 1 80 1 06 2 36 1 06 2 98 0 77 1 82 7 46 8 38 0 59 0 80 0 59 0 82 0 89 4 62 1 02 6 49 4 33 0 94 4 33 3 80 4 09 0 79 0 70 10 71 1 15 3 83 1 15 0 66 0 92 1 79 1 93 1 15 3 79 0 15 3 79 2 64 3 55 4 89 2 15 3 52 2 52 3 23 2 52 1 87 2 73 0 62 2 24 3 36 1 69 1 88 1 69 2 59 1 90 2 92 1 62 12 62 2 27 1 83 2 27 3 39 2 11 1 70 1 67 2 12 2 66 2 08 2 66 2 07 2 82 8 06 5 29 0 20 3 52 2 24 3 52 4 00 3 36 7 85 4 80 12 62 4 82 3 01 4 82 5 68 4 67 5 91 2 41 2 48 1 78 4 45 1 78 2 47 1 67 5 95 2 80 11 37 2 06 1 28 2 06 2 17 1 95 0 55 0 67 2 73 0 27 1 00 0 27 0 57 0 16 2 35 6 10 1 47 3 77 0 25 3 77 3 47 3 87 2 88 4 50 3 24 2 16 3 22 2 16 2 28 2 08 0 54 2 90 3 60 1 41