Table 2 Interval-specific statistics of...

Table 2

Interval-specific statistics of expected returns (decile-based approach, first split)

Interval	E[r] lower bound	E[r] upper bound	μ_j	σ_j	n_j
1	−13.91	−3.52	−9.20	16.22	6,697
2	−3.52	−1.67	−3.52	14.95	6,697
3	−1.67	−0.47	−1.12	13.70	6,697
4	−0.47	0.39	0.21	11.96	6,697
5	0.39	0.99	1.16	10.86	6,697
6	0.99	1.40	2.03	9.08	6,696
7	1.40	1.63	2.24	7.66	6,697
8	1.63	1.80	2.54	6.23	6,697
9	1.80	1.99	2.60	5.57	6,697
10	1.99	2.42	2.60	4.12	6,697

Interval	E[r] lower bound	E[r] upper bound	μ_j	σ_j	n_j
1	−13.91	−3.52	−9.20	16.22	6,697
2	−3.52	−1.67	−3.52	14.95	6,697
3	−1.67	−0.47	−1.12	13.70	6,697
4	−0.47	0.39	0.21	11.96	6,697
5	0.39	0.99	1.16	10.86	6,697
6	0.99	1.40	2.03	9.08	6,696
7	1.40	1.63	2.24	7.66	6,697
8	1.63	1.80	2.54	6.23	6,697
9	1.80	1.99	2.60	5.57	6,697
10	1.99	2.42	2.60	4.12	6,697

Note(s): * μ_j and σ_j denote the mean and standard deviation of realized returns for loans within each interval