| A. Semi-Annual Return vs. Risk Attribute | ||||||||||
| Average | Ave Slope | Standard | T-Stat | Average | % Negative | |||||
| Intercept | Coefficient | Error | R-Square | Coefficient | ||||||
| II CCR | 0.2413 | -0.0018 | 0.0008 | -2.36 | 8.2% | 65.2% | ||||
| ICRGC | 0.3110 | -0.0025 | 0.0014 | -1.76 | 7.6% | 65.2% | ||||
| ICRGP | 0.2671 | -0.0019 | 0.0012 | -1.67 | 6.1% | 69.6% | ||||
| ICRGF | 0.2785 | -0.0038 | 0.0025 | -1.50 | 8.9% | 56.5% | ||||
| ICRGE | 0.3747 | -0.0069 | 0.0034 | -2.02 | 8.3% | 56.5% | ||||
| BP | 0.0344 | 0.1387 | 0.0311 | 4.46 | 9.4% | 17.4% | ||||
| B. Semi-Annual Return vs. Risk Attribute & Book-to-Price | ||||||||||
| Risk Attribute | Book-to-Price | |||||||||
| Average | Ave Slope | Standard | T-Stat | % Negative | Ave Slope | Standard | T-Stat | % Negative | Average | |
| Intercept | Coefficient | Error | Coefficient | Coefficient | Error | Coefficient | R-Square | |||
| CCR | 0.0869 | -0.0008 | 0.0007 | -1.12 | 65.2% | 0.1227 | 0.0315 | 3.89 | 17.4% | 16.1% |
| ICRGC | 0.1708 | -0.0017 | 0.0014 | -1.22 | 65.2% | 0.1277 | 0.0291 | 4.39 | 17.4% | 16.3% |
| ICRGP | 0.2132 | -0.0023 | 0.0013 | -1.70 | 69.6% | 0.1294 | 0.0322 | 4.02 | 21.7% | 16.1% |
| ICRGF | 0.0908 | -0.0014 | 0.0022 | -0.61 | 52.2% | 0.1304 | 0.0285 | 4.57 | 17.4% | 16.6% |
| ICRGE | 0.0420 | -0.0003 | 0.0030 | -0.10 | 43.5% | 0.1347 | 0.0284 | 4.75 | 17.4% | 15.9% |
| C. Semi-Annual Return vs. Adjusted Risk Attribute | ||||||||||
| Average | Ave Slope | Standard | T-Stat | Average | % Negative | |||||
| Intercept | Coefficient | Error | R-Square | Coefficient | ||||||
| CCR | 0.0965 | 0.0401 | 0.0317 | 1.26 | 17.9% | 39.1% | ||||
| ICRGC | 0.1055 | 0.0272 | 0.0354 | 0.77 | 17.3% | 43.5% | ||||
| ICRGP | 0.0960 | 0.0446 | 0.0326 | 1.37 | 16.0% | 43.5% | ||||
| ICRGF | 0.1030 | 0.0259 | 0.0333 | 0.78 | 17.9% | 43.5% | ||||
| ICRGE | 0.1115 | 0.0196 | 0.0330 | 0.59 | 18.9% | 47.8% | ||||
| BP | 0.0654 | 0.0683 | 0.0334 | 2.05 | 24.0% | 30.4% | ||||
| D. Semi-Annual Return vs. Risk Attribute & Adjusted Risk Attribute | ||||||||||
| Risk Attribute | Adjusted Risk Attribute | |||||||||
| Average | Ave Slope | Standard | T-Stat | % Negative | Ave Slope | Standard | T-Stat | % Negative | Average | |
| Intercept | Coefficient | Error | Coefficient | Coefficient | Error | Coefficient | R-Square | |||
| CCR | 0.2280 | -0.0023 | 0.0007 | -3.24 | 73.9% | 0.0494 | 0.0316 | 1.56 | 30.4% | 26.0% |
| ICRGC | 0.3175 | -0.0031 | 0.0014 | -2.18 | 60.9% | 0.0409 | 0.0362 | 1.13 | 39.1% | 24.6% |
| ICRGP | 0.2832 | -0.0028 | 0.0012 | -2.35 | 78.3% | 0.0537 | 0.0335 | 1.60 | 34.8% | 22.6% |
| ICRGF | 0.2715 | -0.0047 | 0.0024 | -1.96 | 60.9% | 0.0393 | 0.0341 | 1.15 | 39.1% | 26.3% |
| ICRGE | 0.3618 | -0.0073 | 0.0035 | -2.12 | 56.5% | 0.0292 | 0.0330 | 0.88 | 52.2% | 26.3% |
| BP | -0.0037 | 0.0972 | 0.0324 | 3.00 | 31.8% | 0.0701 | 0.0349 | 2.01 | 36.4% | 31.7% |
| -Adjusted attributes are according to Ferson-Harvey methodology. |
Last Update: 5/28/96
Name: Campbell R. Harvey
Email: charvey@mail.duke.edu