Table 10. Cumby and Huizinga (1992) test...

Table 10.

Cumby and Huizinga (1992) test of the null hypothesis that the Fama regression error is uncorrelated with itself at lags $q + 1$ to $q + s$ ⁠, $q = 11$

Period	Lags	US-UK	US-CA	US-JP
10/1984–01/2023	12	196.499	321.282	223.436
	15	70.894	48.850	61.324
	20	57.016	47.526	44.952
10/1989–04/2021	12	152.768	280.233	642.996
	15	34.919	48.315	29.323
	20	29.680	75.373	54.568

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