optimal lambda

LOG LIKELIHOOD FOR ALL PANELS A-C WITH DUMMIES FOR ADR, CF, AND ADR+CF
NO CONTROLS BUT WITH COUNTRY SPECIFIC INTERCEPTS AND CORRECT VCV ESTIMATION
	Indicates possible optimum
Dividend Yields		Volatility		Beta		Correlation		Excess Returns
ADR		ADR		ADR		ADR		ADR
	LIKELIHOOD		LIKELIHOOD		LIKELIHOOD		LIKELIHOOD		LIKELIHOOD
LAMDA		LAMDA		LAMDA		LAMDA		LAMDA

0.99	-1058.76	0.99	219.6229	0.99	4034.222	0.99	6132.257	0.99	3791.892
0.985	-1058.94	0.985	219.6947	0.985	4038.208	0.985	6134.131	0.985	3791.829
0.975	-1059.02	0.975	219.7147	0.975	4041.442	0.975	6135.813	0.975	3791.726
0.95	-1059.88	0.95	219.6384	0.95	4046.567	0.95	6138.852	0.95	3791.416
0.9	-1062.31	0.9	219.37	0.9	4051.3	0.9	6141	0.9	3790.9
0.8	-1065.4	0.8	219.05	0.8	4053.6	0.8	6139	0.8	3790.3
0.7	-1066.3	0.7	218.93	0.7	4050.1	0.7	6133.9	0.7	3790
0.6	-1066	0.6	218	0.6	4044.8	0.6	6129	0.6	3790
0.5	-1065.3	0.5	218.87	0.5	4039	0.5	6125.1	0.5	3789.9
0.4	-1064.4	0.4	218.8	0.4	4035.4	0.4	6122	0.4	3789.8
0.3	-1063.4	0.3	218.81	0.3	4031.5	0.3	6119.5	0.3	3789.8
0.2	-1062.6	0.2	218.77	0.2	4028	0.2	6117.5	0.2	3789.7
0.1	-1062	0.1	218.73	0.1	4024.9	0.1	6116.1	0.1	3789.7
0.05	-1061.7	0.05	218.7	0.05	4023.5	0.05	6115.6	0.05	3789.6
0.025	-1061.66	0.025	218.6943	0.025	4022.846	0.025	6115.454	0.025	3789.679
0.015	-1061.62	0.015	218.6894	0.015	4022.59	0.015	6115.394	0.015	3789.673

COUNTRY FUNDS		COUNTRY FUNDS		COUNTRY FUNDS		COUNTRY FUNDS		COUNTRY FUNDS
	LIKELIHOOD		LIKELIHOOD		LIKELIHOOD		LIKELIHOOD		LIKELIHOOD
LAMDA		LAMDA		LAMDA		LAMDA		LAMDA

0.99	-1068.77	0.99	218.2696	0.99	4021.089	0.99	6120.379	0.99	3789.679
0.985	-1069.27	0.985	218.2409	0.985	4021.515	0.985	6120.322	0.985	3789.676
0.975	-1069.76	0.975	218.2123	0.975	4021.906	0.975	6120.276	0.975	3789.672
0.95	-1070.96	0.95	218.1427	0.95	4022.665	0.95	6120.237	0.95	3789.657
0.9	-1073.63	0.9	218.01	0.9	4022.8	0.9	6120.5	0.9	3789.6
0.8	-1079.27	0.8	217.8	0.8	4019.6	0.8	6121.2	0.8	3789.4
0.7	-1079.83	0.7	217.66	0.7	4015.4	0.7	6121.5	0.7	3789.3
0.6	-1076.09	0.6	217.43	0.6	4012	0.6	6121.9	0.6	3789.3
0.5	-1072.89	0.5	217.14	0.5	4009	0.5	6122.3	0.5	3789
0.4	-1071.36	0.4	216.82	0.4	4006.9	0.4	6122.6	0.4	3789.7
0.3	-1070.85	0.3	216.5	0.3	4005.7	0.3	6123	0.3	3789.9
0.2	-1070.8	0.2	216.19	0.2	4005	0.2	6123.6	0.2	3790.2
0.1	-1071	0.1	215.92	0.1	4005.1	0.1	6124.3	0.1	3790
0.05	-1071.07	0.05	215.8	0.05	4005	0.05	6124.6	0.05	3790
0.025	-1071.09	0.025	215.7498	0.025	4004.972	0.025	6124.906	0.025	3790.649
0.015	-1071.09	0.015	215.7289	0.015	4004.949	0.015	6124.991	0.015	3790.671

ADR + COUNTRY FUNDS		ADR + COUNTRY FUNDS		ADR + COUNTRY FUNDS		ADR + COUNTRY FUNDS		ADR + COUNTRY FUNDS
	LIKELIHOOD		LIKELIHOOD		LIKELIHOOD		LIKELIHOOD		LIKELIHOOD
LAMDA		LAMDA		LAMDA		LAMDA		LAMDA

0.99	-1060.47	0.99	218.5181	0.99	4038.881	0.99	6131.801	0.99	3791.231
0.985	-1062.03	0.985	218.4139	0.985	4043.576	0.985	6133.282	0.985	3791.06
0.975	-1062.96	0.975	218.3086	0.975	4046.858	0.975	6134.439	0.975	3790.892
0.95	-1064.57	0.95	218.1019	0.95	4049.889	0.95	6135.982	0.95	3790.552
0.9	-1068.37	0.9	217.92	0.9	4047.2	0.9	6134.9	0.9	3790.1
0.8	-1075.26	0.8	217.88	0.8	4035	0.8	6129.7	0.8	3789.7
0.7	-1076.53	0.7	217.83	0.7	4023	0.7	6126.4	0.7	3789.4
0.6	-1074.79	0.6	217.66	0.6	4014.8	0.6	6125.1	0.6	3789.2
0.5	-1072.98	0.5	217.39	0.5	4009.6	0.5	6124	0.5	3789.2
0.4	-1071.99	0.4	217.07	0.4	4006.7	0.4	6124	0.4	3789.2
0.3	-1071.85	0.3	216.73	0.3	4005.3	0.3	6124.2	0.3	3789
0.2	-1072.52	0.2	216.39	0.2	4004.9	0.2	6124	0.2	3789
0.1	-1073.76	0.1	216.08	0.1	4004.9	0.1	6124.4	0.1	3789.7
0.05	-1074.46	0.05	215.95	0.05	4005	0.05	6124.4	0.05	3789.8
0.025	-1074.81	0.025	215.8875	0.025	4005.078	0.025	6124.543	0.025	3789.943
0.015	-1074.95	0.015	215.8631	0.015	4005.102	0.015	6124.563	0.015	3789.966

Last Updated on 1/14/99
By Fuqua School of Business