Price of Risk Estimates: Estimation with Intercept.
| Short Sample (1960−2014) | Full Sample (1928−2014) | ||||||
|---|---|---|---|---|---|---|---|
| T = 55 and N = 31 | T =87 and N = 21 | ||||||
| Reported Dec. | Garbage Dec. | P-J Dec. | Q4-Q4 Dec. | Unfiltered T.A. | Reported Dec. | Unfiltered T.A. | |
| const | 7.40 | 1.24 | 4.57 | 0.94 | 1.27 | 9.56 | -0.30 |
| t(const)sh | 3.14 | 0.28 | 1.19 | 0.21 | 0.36 | 3.72 | -0.08 |
| Btrp c.i.95% | (-0.1,11.8) | (-6.5,13.0) | (-2.2,11.7) | (-4.7,11.5) | (-3.4,9.1) | (1.0,14.0) | (-7.0, 6.3) |
| λ | 0.37 | 1.71 | 4.42 | 2.00 | 2.04 | 0.02 | 2.74 |
| t(λ)sh | 0.70 | 1.05 | 1.83 | 1.81 | 1.75 | 0.04 | 2.10 |
| Btrp c.i.95% | (-1.1,1.7) | (-2.1,4.2) | (-1.3,5.2) | (-0.6,2.3) | (-0.4,3.1) | (-2.9,2.6) | (0.7,4.6) |
| GRS-FAR c.i.95% | unbounded | unbounded | unbounded | unbounded | unbounded | (-0.6, 1.2) | (-0.1, 5.0) |
| implied γ | 21.48 | 20.69 | 42.56 | 92.16 | 30.06 | 0.34 | 16.75 |
| t(βALL), p-value | 0.23 | 0.30 | 0.09 | 0.10 | 0.05 | 0.30 | 0.00 |
| F(βi = βj), p-value | 0.26 | 0.47 | 0.49 | 0.53 | 0.37 | 0.00 | 0.00 |
| Short Sample (1960−2014) | Full Sample (1928−2014) | ||||||
|---|---|---|---|---|---|---|---|
| T = 55 and | T =87 and | ||||||
| Reported Dec. | Garbage Dec. | P-J Dec. | Q4-Q4 Dec. | Unfiltered T.A. | Reported Dec. | Unfiltered T.A. | |
| 7.40 | 1.24 | 4.57 | 0.94 | 1.27 | 9.56 | -0.30 | |
| 3.14 | 0.28 | 1.19 | 0.21 | 0.36 | 3.72 | -0.08 | |
| Btrp | (-0.1,11.8) | (-6.5,13.0) | (-2.2,11.7) | (-4.7,11.5) | (-3.4,9.1) | (1.0,14.0) | (-7.0, 6.3) |
| 0.37 | 1.71 | 4.42 | 2.00 | 2.04 | 0.02 | 2.74 | |
| 0.70 | 1.05 | 1.83 | 1.81 | 1.75 | 0.04 | 2.10 | |
| Btrp | (-1.1,1.7) | (-2.1,4.2) | (-1.3,5.2) | (-0.6,2.3) | (-0.4,3.1) | (-2.9,2.6) | (0.7,4.6) |
| GRS-FAR c.i.95% | unbounded | unbounded | unbounded | unbounded | unbounded | (-0.6, 1.2) | (-0.1, 5.0) |
| implied γ | 21.48 | 20.69 | 42.56 | 92.16 | 30.06 | 0.34 | 16.75 |
| 0.23 | 0.30 | 0.09 | 0.10 | 0.05 | 0.30 | 0.00 | |
| F(βi = βj), p-value | 0.26 | 0.47 | 0.49 | 0.53 | 0.37 | 0.00 | 0.00 |
Description: This table complements Table 4 in the main paper and provides results for estimation with an intercept λ0.
Interpretation: When estimation is with an intercept, the Fama-MacBeth/Shanken as well es bootstrap confidence intervals do not indicate a significant price of risk at the 5% level for any of the alternative consumption measures. This result is in line with the lack of power of this specification, as indicated in Figure A.5.
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