ARES returns | |||||||||||
| μ | θ(1) | θ(2) | θ(3) | θ(4) | θ(5) | θ(6) | θ(7) | θ(8) | θ(9) | θ(10) |
coefficients | 0.00 | 1.25 | 0.16 | −0.15 | −0.07 | −0.43 | 0.06 | 0.02 | 0.14 | 0.21 | −0.22 |
t-values | 2.17 | 18.62 | 1.48 | −1.35 | −0.67 | −4.03 | 0.57 | 0.23 | 1.37 | 2.02 | −3.29 |
de-smoothed returns | |||||||||||
| μ | θ(1) | θ(2) | θ(3) | θ(4) | θ(5) | θ(6) | θ(7) | θ(8) | θ(9) | θ(10) |
coefficients | 0.01 | −0.03 | 0.03 | 0.04 | 0.02 | −0.01 | −0.06 | −0.03 | 0.02 | 0.05 | 0.09 |
t-values | 2.36 | −0.40 | 0.37 | 0.54 | 0.30 | −0.15 | −0.84 | −0.45 | 0.34 | 0.67 | 1.23 |