E. WLS with expanding sample betas T53AW |g0 g1(mkt) g2(smb) g3(hml) g4(fit) Adj.Rsq| Mean premium -0.073 0.453 0.796 0.275 - 0.0025 t-ratio -0.123 0.601 1.990 1.442 - - Mean premium 0.410 - - - 1.912 0.0948 t-ratio 1.706 - - - 3.015 - Mean premium 0.282 0.546 0.247 0.320 0.609 0.0948 t-ratio 0.480 0.734 0.627 1.616 0.275 - F. WLS with 60-period rolling sample betas T53BW |g0 g1(mkt) g2(smb) g3(hml) g4(fit) Adj.Rsq| Mean premium 0.051 -0.527 0.999 0.047 - 0.0028 t-ratio 0.052 -0.478 1.789 0.180 - - Mean premium 0.208 - - - 1.333 0.0994 t-ratio 0.822 - - - 2.022 - Mean premium -0.154 -0.897 0.504 0.171 6.032 0.0992 t-ratio -0.171 -0.889 0.988 0.627 1.405 - G. WLS with expanding sample conditional betas T53CW |g0 g1(mkt) g2(smb) g3(hml) g4(fit) Adj.Rsq| Mean premium -0.054 0.231 -0.341 -0.466 - 0.0044 t-ratio -0.121 0.541 -1.032 -1.700 - - Mean premium 0.350 - - - 1.806 0.0929 t-ratio 1.472 - - - 2.960 - Mean premium -0.092 0.048 -0.409 -0.650 3.841 0.0993 t-ratio -0.215 0.113 -1.231 -2.187 2.683 - H. With 60-period rolling sample conditional betas T53DW |g0 g1(mkt) g2(smb) g3(hml) g4(fit) Adj.Rsq| Mean premium 0.328 0.308 0.690 -0.019 - 0.0028 t-ratio 0.762 0.831 0.949 -0.069 - - Mean premium 0.207 - - - 1.400 0.0993 t-ratio 0.815 - - - 2.095 - Mean premium 0.147 0.064 0.393 -0.079 2.321 0.0992 t-ratio 0.426 0.178 0.760 -0.304 1.975 -