| Fundamental | II CCR | R-Sq | ICRGC | R-Sq | ICRGP | R-Sq | ICRGF | R-Sq | ICRGE | R-Sq | R-Sq | ||
| Sample | Regression | Variable | T-Stat | FER2 | T-Stat | FER2 | T-Stat | FER2 | T-Stat | FER2 | T-Stat | FER2 | FER2 |
| Full | Univariate | Book/Price | -0.0066 | 5.00% | -0.0126 | 5.71% | -0.0048 | 0.83% | -0.0229 | 8.37% | -0.0525 | 18.46% | |
| -6.50 | 31.47% | -6.95 | 36.41% | -2.74 | 31.57% | -8.51 | 37.18% | -13.34 | 37.99% | ||||
| Dividend/Price | -0.0169 | 3.15% | -0.0448 | 7.06% | -0.0351 | 4.95% | -0.0684 | 7.26% | -0.1034 | 6.89% | |||
| -5.14 | 52.36% | -7.77 | 55.10% | -6.46 | 52.24% | -7.89 | 55.74% | -7.67 | 54.16% | ||||
| Earnings/Price | -0.0009 | 6.18% | -0.0019 | 8.34% | -0.0013 | 4.33% | -0.0030 | 9.26% | -0.0054 | 12.32% | |||
| -7.24 | 12.41% | -8.49 | 16.81% | -6.03 | 13.18% | -8.99 | 16.71% | -10.53 | 20.06% | ||||
| Full | Multivariate | Book/Price | 0.0042 | 0.0191 | -0.0254 | -0.0656 | 25.14% | ||||||
| 2.07 | 6.36 | -4.48 | -10.08 | 40.27% | |||||||||
| Dividend/Price | 0.0309 | -0.0204 | -0.0660 | -0.0921 | 9.82% | ||||||||
| 4.35 | -1.90 | -3.30 | -4.02 | 56.64% | |||||||||
| Earnings/Price | 0.0005 | 0.0005 | -0.0023 | -0.0050 | 13.14% | ||||||||
| 1.86 | 1.15 | -3.02 | -5.66 | 20.92% | |||||||||
| Developed | Univariate | Book/Price | -0.0099 | 11.41% | -0.0155 | 9.17% | -0.0058 | 2.09% | -0.0270 | 12.25% | -0.0299 | 10.40% | |
| -0.75 | 40.73% | -6.63 | 40.34% | -3.18 | 38.21% | -7.77 | 40.88% | -7.09 | 39.87% | ||||
| Dividend/Price | -0.0507 | 7.61% | -0.1097 | 11.82% | -0.0602 | 6.21% | -0.1134 | 5.40% | -0.2093 | 13.10% | |||
| -6.00 | 67.11% | -7.62 | 67.32% | -5.40 | 66.95% | -5.02 | 68.09% | -8.07 | 69.50% | ||||
| Earnings/Price | -0.0002 | 0.11% | -0.0001 | -0.21% | 0.0003 | 0.15% | -0.0006 | 0.09% | -0.0019 | 1.93% | |||
| -1.22 | 38.40% | -0.36 | 33.16% | 1.28 | 39.06% | -1.17 | 30.61% | -3.06 | 35.36% | ||||
| Developed | Multivariate | Book/Price | -0.0047 | 0.0038 | -0.0164 | -0.0208 | 18.16% | ||||||
| -2.47 | 1.89 | -3.55 | -4.71 | 44.43% | |||||||||
| Dividend/Price | -0.0163 | -0.0229 | -0.0201 | -0.1643 | 15.60% | ||||||||
| -1.36 | -1.80 | -0.68 | -5.86 | 71.72% | |||||||||
| Earnings/Price | -0.0002 | 0.0008 | -0.0004 | -0.0021 | 3.04% | ||||||||
| -0.80 | 2.79 | -0.55 | -3.14 | 46.95% | |||||||||
| Emerging | Univariate | Book/Price | -0.0159 | 6.75% | -0.0220 | 6.30% | -0.0013 | -0.26% | -0.0348 | 9.23% | -0.0775 | 23.56% | |
| -5.18 | 29.16% | -4.99 | 34.86% | -0.30 | 29.91% | -6.10 | 35.81% | -10.52 | 38.34% | ||||
| Dividend/Price | -0.0562 | 10.80% | -0.1018 | 17.50% | -0.0888 | 13.33% | -0.1298 | 16.36% | -0.1353 | 8.86% | |||
| -6.64 | 45.98% | -8.75 | 49.67% | -7.47 | 47.21% | -8.41 | 50.17% | 0.09 | 47.24% | ||||
| Earnings/Price | -0.0018 | 5.91% | -0.0032 | 8.83% | -0.0019 | 3.06% | -0.0042 | 8.84% | -0.0069 | 12.19% | |||
| -4.83 | 8.01% | -5.96 | 13.47% | -3.50 | 9.81% | -5.96 | 12.60% | -7.10 | 16.01% | ||||
| Emerging | Multivariate | Book/Price | 0.0105 | 0.0248 | -0.0282 | -0.0876 | 28.68% | ||||||
| 2.39 | 4.19 | -2.72 | -7.12 | 39.82% | |||||||||
| Dividend/Price | -0.0136 | -0.0388 | -0.0679 | -0.0125 | 17.21% | ||||||||
| -1.03 | -2.16 | -2.16 | -0.33 | 50.39% | |||||||||
| Earnings/Price | 0.0006 | -0.0001 | -0.0016 | -0.0064 | 12.23% | ||||||||
| 1.05 | -0.18 | -1.16 | -3.79 | 15.78% |
Last Update: 5/28/96
Name: Campbell R. Harvey
Email: charvey@mail.duke.edu