| 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 | -0.0007 | 1.91% | -0.0016 | 2.04% | -0.0014 | 2.02% | -0.0030 | 2.28% | -0.0009 | 1.67% | |
| -1.43 | 2.05% | -1.75 | 0.34% | -1.72 | 0.26% | -2.23 | 0.98% | -0.40 | 0.36% | ||||
| Full | Multivariate | Book/Price | 0.0000 | 0.0003 | -0.0066 | 0.0066 | 2.38% | ||||||
| 0.01 | 0.20 | -2.13 | 1.78 | 3.30% | |||||||||
| Developed | Univariate | Book/Price | 0.0006 | 2.33% | 0.0001 | 2.27% | 0.0000 | 2.26% | -0.0084 | 4.13% | 0.0121 | 5.03% | |
| 0.51 | 2.92% | 0.03 | 2.44% | -0.01 | 2.47% | -2.87 | 8.52% | 3.51 | 4.81% | ||||
| Developed | Multivariate | Book/Price | 0.0034 | -0.0006 | -0.0162 | 0.0137 | 8.72% | ||||||
| 2.22 | -0.35 | -4.35 | 3.81 | 8.08% | |||||||||
| Emerging | Univariate | Book/Price | 0.0000 | 1.12% | -0.0011 | 1.20% | -0.0010 | 1.19% | -0.0017 | 1.22% | -0.0008 | 1.13% | |
| -0.03 | 1.60% | -0.54 | -0.54% | -0.52 | -0.54% | -0.60 | -0.53% | -0.19 | -0.82% | ||||
| Emerging | Multivariate | Book/Price | 0.0010 | -0.0003 | -0.0027 | 0.0002 | 0.45% | ||||||
| 0.42 | -0.09 | -0.49 | 0.03 | 1.79% |
Last Update: 5/28/96
Name: Campbell R. Harvey
Email: charvey@mail.duke.edu