Credit Risk Return Models
Full Sample
| Model | Intercept | Slope | R-Square | | |
| T-Stat | T-Stat | | | |
|
| Linear | 22.93 | -0.19 | 1.41% | | |
| 7.51 | -4.13 | | | |
| Log | 52.32 | -10.14 | 1.61% | | |
| 5.54 | -4.39 | | | |
| Risk | 7.01 | 4.39 | 1.67% | | |
| 5.04 | 4.47 | | | |
|
Split Sample
| Model | Intercept | E Slope | D Slope | R-Square | |
| T-Stat | T-Stat | T-Stat | | |
|
| Linear | 26.36 | -0.28 | -0.22 | 1.45% | |
| 6.28 | -3.04 | -4.12 | | |
| Log | 61.18 | -12.71 | -12.04 | 1.58% | |
| 4.33 | -3.33 | -3.73 | | |
| Risk | 6.56 | 6.94 | 4.55 | 1.59% | |
| 3.31 | 0.87 | 4.13 | | |
|
Note: All regressions are time series cross-sectional and are based on semi-annual observations of US dollar total return.
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