A. Lagged Level Regressions | ||||||||||||

II CCR | R-Sq | ICRGC | R-Sq | ICRGP | R-Sq | ICRGF | R-Sq | ICRGE | R-Sq | R-Sq | ||

Sample | Regression | T-Stat | FER2 | T-Stat | FER2 | T-Stat | FER2 | T-Stat | FER2 | T-Stat | FER2 | FER2 |

Full | Univariate | -0.0011 | 0.52% | -0.0023 | 0.75% | -0.0017 | 0.42% | -0.0043 | 1.21% | -0.0041 | 0.39% | |

-2.26 | 0.47% | -2.63 | -1.25% | -2.08 | -1.75% | -3.26 | -0.22% | -2.02 | -2.02% | |||

Full | Multivariate | 0.0003 | 0.0016 | -0.0082 | 0.0024 | 1.10% | ||||||

0.25 | 0.96 | -2.68 | 0.68 | 1.79% | ||||||||

Developed | Univariate | -0.0007 | -0.13% | -0.0019 | 0.01% | -0.0007 | -0.17% | -0.0107 | 3.22% | 0.0071 | 0.83% | |

-0.68 | -1.78% | -1.01 | -2.82% | -0.53 | -3.19% | -3.89 | 3.08% | 2.13 | -1.96% | |||

Developed | Multivariate | 0.0027 | 0.0000 | -0.0184 | 0.0109 | 6.30% | ||||||

1.80 | -0.03 | -4.96 | 3.07 | 3.90% | ||||||||

Emerging | Univariate | -0.0009 | -0.15% | -0.0023 | 0.09% | -0.0011 | -0.19% | -0.0035 | 0.21% | -0.0050 | 0.24% | |

-0.68 | 0.43% | -1.14 | -1.71% | -0.56 | -2.03% | -1.36 | -1.47% | -1.36 | -2.33% | |||

Emerging | Multivariate | 0.0015 | 0.0011 | -0.0046 | -0.0042 | -0.36% | ||||||

0.67 | 0.34 | -0.71 | -0.78 | 0.33% | ||||||||

B. Lagged Change in Level Regressions | ||||||||||||

II CCR | R-Sq | ICRGC | R-Sq | ICRGP | R-Sq | ICRGF | R-Sq | ICRGE | R-Sq | R-Sq | ||

Sample | Regression | T-Stat | FER2 | T-Stat | FER2 | T-Stat | FER2 | T-Stat | FER2 | T-Stat | FER2 | FER2 |

Full | Univariate | -0.0072 | -0.10% | -0.0046 | -0.03% | -0.0076 | 0.32% | -0.0015 | -0.12% | 0.0071 | 0.00% | |

-0.45 | -0.89 | -1.87 | -0.22 | 1.00 | ||||||||

Full | Multivariate | -0.0037 | -0.0096 | 0.0050 | 0.0092 | 0.22% | ||||||

-0.40 | -2.09 | 0.66 | 1.28 | -1.57% | ||||||||

Developed | Univariate | 0.0072 | -0.11% | -0.0014 | -0.22% | -0.0012 | -0.22% | -0.0181 | 0.58% | 0.0051 | -0.12% | |

0.74 | -3.10% | -0.22 | -3.20% | -0.29 | -3.19% | -1.86 | -2.28% | 0.70 | -2.99% | |||

Developed | Multivariate | 0.0097 | -0.0032 | -0.0188 | 0.0049 | 0.19% | ||||||

0.99 | -0.07 | -1.88 | 0.67 | -1.57% | ||||||||

Emerging | Univariate | -0.0147 | -0.02% | -0.0089 | 0.07% | -0.0135 | 0.87% | -0.0008 | -0.28% | -0.0019 | -0.19% | |

-0.97 | -2.36% | -1.12 | -1.84% | -2.03 | -1.32% | -0.08 | -2.48% | 0.01 | -2.64% | |||

Emerging | Multivariate | -0.0147 | -0.0185 | 0.0123 | 0.0097 | 0.82% | ||||||

-0.97 | -2.36 | 1.06 | 0.83 | 1.32% | ||||||||

Last Update: 5/28/96

Name: Campbell R. Harvey

Email: charvey@mail.duke.edu