Academic journal article Federal Reserve Bank of Atlanta, Working Paper Series

Emerging Market Liberalization and the Impact on Uncovered Interest Rate Parity: Table 3 Summary Statistics of the Risk Factors and Information Variables

Academic journal article Federal Reserve Bank of Atlanta, Working Paper Series

Emerging Market Liberalization and the Impact on Uncovered Interest Rate Parity: Table 3 Summary Statistics of the Risk Factors and Information Variables

Article excerpt

Table 3 Summary Statistics of the Risk Factors and Information
Variables

The risk factors are the Fama-French factors, the U.S. market (USMKT),
SMB, and HML. The instruments are a constant, the change in the U.S.
default premium ([DELTA]DEFAULT), measured as the yield differential
between Moody's Baa and AAA corporate bonds, the U.S. term premium
(TERM), measured as the difference in yield between the 10-year
Treasury note and the three-month Treasury bill, the riskfree rate
(RFREE), the return on the one-month Treasury bill, and the U.S.
market portfolio (USMKT). Each instrument is lagged one period
relative to the factor returns. Q(x) is the Ljung-Box Q statistic
(p-value) from a test for autocorrelation up to lag x. The number on
top represents the pre-liberalization (145 obs.) and the one below,
the post-liberalization (105 obs.) period. Since different markets
had different liberalization date this split in the sample represents
roughly the average market.

Variable    Mean     Std Dev   Autocorrelation

                                 r (1)     r (2)    r (3)

USMKT        0.661    4.855    0.084       -0.057   -0.069
             0.589    5.073    0.111       -0.076   -0.094
SMB          0.010    2.392    0.172 (a)    0. … 
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