Table 5 The slope estimates of the good...

Table 5

The slope estimates of the good times indicators

	CAPM		3-Factors
	$α$	$γ$	$α$	$γ$
Panel A. ESG
Shiller's CAPE	−0.836***	0.784***	−0.305***	0.237***
	(−9.86)	(5.23)	(−4.46)	(3.03)
GDP Forecasting	−0.630***	0.118	−0.283***	0.139
	(−6.32)	(0.74)	(−3.89)	(1.49)
Panel B. Environmental
Shiller's CAPE	−0.769***	0.710***	−0.398***	0.298**
	(−6.43)	(3.36)	(−5.35)	(2.27)
GDP Forecasting	−0.565***	0.061	−0.396***	0.242*
	(−4.27)	(0.29)	(−5.03)	(1.91)
Panel C. Social
Shiller's CAPE	−0.720***	0.769***	−0.317***	0.293**
	(−6.91)	(4.18)	(−4.46)	(2.34)
GDP Forecasting	−0.499***	0.066	−0.260***	0.096
	(−4.23)	(0.35)	(−3.40)	(0.78)
Panel D. Governance
Shiller's CAPE	−0.441***	0.158*	−0.011	−0.294***
	(−9.31)	(1.89)	(−0.18)	(−2.67)
GDP Forecasting	−0.393***	0.007	−0.021	−0.220**
	(−7.77)	(0.09)	(−0.31)	(−2.05)

	CAPM		3-Factors
	$α$	$γ$	$α$	$γ$
Panel A. ESG
Shiller's CAPE	−0.836***	0.784***	−0.305***	0.237***
	(−9.86)	(5.23)	(−4.46)	(3.03)
GDP Forecasting	−0.630***	0.118	−0.283***	0.139
	(−6.32)	(0.74)	(−3.89)	(1.49)
Panel B. Environmental
Shiller's CAPE	−0.769***	0.710***	−0.398***	0.298**
	(−6.43)	(3.36)	(−5.35)	(2.27)
GDP Forecasting	−0.565***	0.061	−0.396***	0.242*
	(−4.27)	(0.29)	(−5.03)	(1.91)
Panel C. Social
Shiller's CAPE	−0.720***	0.769***	−0.317***	0.293**
	(−6.91)	(4.18)	(−4.46)	(2.34)
GDP Forecasting	−0.499***	0.066	−0.260***	0.096
	(−4.23)	(0.35)	(−3.40)	(0.78)
Panel D. Governance
Shiller's CAPE	−0.441***	0.158*	−0.011	−0.294***
	(−9.31)	(1.89)	(−0.18)	(−2.67)
GDP Forecasting	−0.393***	0.007	−0.021	−0.220**
	(−7.77)	(0.09)	(−0.31)	(−2.05)

Note(s): This table shows the coefficient estimate for the good economic time indicator variable. We estimate CAPM alphas and FF3 alphas of the HL strategy using a 36-month rolling regression methodology. We then insert the good time indicators and estimate the following specification

${\hat{α}}_{H - L, t} = α + γ * I_{G o o d} + ϵ_{t}$

The sample period is from January 2012 to December 2020. The t-statistics are in parentheses and are based on standard errors following Newey and West(1987) using twelve lags. The statistical significance at the 10%, 5% and 1% levels is given by *, ** and ***, respectively

Source(s): Author's work

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