Table XII Fama–MacBeth regression...

Table XII

Fama–MacBeth regression results for monthly excess returns

Variable	Coefficient	Money market	Bond	Eurobond	Equity	Balanced
Constant	Estimate	0.0093084	−0.0040152	0.0046645	0.0090741	0.0106462
Constant	t-stat	1.9459457	−0.6624383	1.2526722	2.2705594	1.8376081
Age	Estimate	−0.0602682	0.0398259	−0.0171990	−0.0158141	−0.0177172
Age	t-stat	−4.0353460	1.8271925	−0.8755647	−0.6446834	−0.8442972
log(AUM)	Estimate	0.1225293	−0.0336772	0.0224034	−0.0109258	0.0129909
log(AUM)	t-stat	5.2178909	−1.1859143	0.9196532	−0.4010925	0.5271588
ER_6m_	Estimate	0.6749366	0.1176601	0.1055419	0.0691977	0.1130430
ER_6m_	t-stat	18.6356665	2.8531708	1.8899594	2.1064968	2.0979973
Fee	Estimate	−0.0711548	−0.1127756	−0.0126320	−0.0587908	−0.0470808
Fee	t-stat	−2.6280769	−4.0827056	−0.5648525	−2.6888131	−2.8575794
	R²	0.6928360	0.3823345	0.5528880	0.2393175	0.4102138

Variable	Coefficient	Money market	Bond	Eurobond	Equity	Balanced
Constant	Estimate	0.0093084	−0.0040152	0.0046645	0.0090741	0.0106462
Constant	t-stat	1.9459457	−0.6624383	1.2526722	2.2705594	1.8376081
Age	Estimate	−0.0602682	0.0398259	−0.0171990	−0.0158141	−0.0177172
Age	t-stat	−4.0353460	1.8271925	−0.8755647	−0.6446834	−0.8442972
log(AUM)	Estimate	0.1225293	−0.0336772	0.0224034	−0.0109258	0.0129909
log(AUM)	t-stat	5.2178909	−1.1859143	0.9196532	−0.4010925	0.5271588
ER_6m_	Estimate	0.6749366	0.1176601	0.1055419	0.0691977	0.1130430
ER_6m_	t-stat	18.6356665	2.8531708	1.8899594	2.1064968	2.0979973
Fee	Estimate	−0.0711548	−0.1127756	−0.0126320	−0.0587908	−0.0470808
Fee	t-stat	−2.6280769	−4.0827056	−0.5648525	−2.6888131	−2.8575794
	R²	0.6928360	0.3823345	0.5528880	0.2393175	0.4102138

Notes: Dependent variable is monthly excess returns. Age stands for the difference between the fund foundation date and last price announcement date in year terms. AUM is asset under management. ER_6m is past six months excess return. Logarithm of fund assets is used as regression weights

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