Annual returns for 13 countries in the portfolio. The first row gives the value of the coefficients. The second row gives the t-stat for the coefficients. The critical values for t-stat for DF = 22 are 2.8188 (1%), 2.0739 (5%) and 1.7171 (10%),for DF = 18 are 2.8784 (1%), 2.1009 (5%) and 1.7341 (10%) for Russian Federation, and for DF = 8, 3.3554 (1%), 2.3060 (5%) and 1.8595 (10%), and for DF = 4 4.6041 (1%), 2.7764 (5%) and 2.1318 (10%) for Russian Federation. These are designated by ^***, ^** and ^* respectively.

Sample Period 1989-2012

Sample Period 1989-1998

Sample Period 1999-2008

Country

Intercept

Slope

Intercept

Slope

Intercept

Slope

Angola

0.0077

2.0310

−0.0720

1.7257

0.0942

2.2661

0.1391

4.8513^***

−0.9180

2.1207^*

0.6843

2.2634^*

Iraq

0.2905

0.8673

0.7484

−3.8965

0.0144

2.7827

1.0519

0.4135

1.0033

−0.5037

0.0579

1.5377

Brunei Darussalam

−0.0006

1.3201

−0.0393

1.2644

0.1382

0.4087

−0.0111

3.2699^***

−0.3096

0.9598

1.5322

0.6232

Nigeria

−0.0141

2.0782

−0.0220

1.4615

−0.0511

2.7157

−0.2104

4.0844^***

−0.1745

1.1172

−0.2860

2.0884^*

Qatar

0.0726

1.5600

0.0259

1.0131

0.0905

1.7522

1.4752

4.1720^***

0.3892

1.4656

0.6629

1.7656

Kuwait

0.2085

1.3582

0.4446

0.6004

0.0032

2.0442

0.7962

0.6826

0.5997

0.0781

0.0368

3.1931^**

República Bolivariana de Venezuela

−0.0239

1.7215

−0.0220

1.5966

−0.0667

2.2034

−0.4838

4.5948^***

−0.2266

1.5860

−0.5346

2.4282^**

Saudi Arabia

−0.0152

1.9506

−0.0855

2.2705

0.0424

1.7229

−0.3390

5.7296^***

−0.9073

2.3237^**

0.4140

2.3124^**

Islamic Republic of Iran

−0.0244

1.8002

−0.0674

1.5248

0.0907

1.4910

−0.4709

4.5754^***

−0.6919

1.5092

0.7460

1.6865

Norway

−0.0098

1.2387

−0.0535

1.7036

0.0609

0.8576

−0.4330

7.1734^***

−1.1978

3.6789^***

1.3767

2.6641^**

Russian Federation

0.0129

1.6960

−0.0049

1.8515

0.0160

1.7334

0.3811

6.9505^***

−0.0663

2.5850^*

0.1819

2.7016^**

United Arab Emirates

0.0035

1.7407

−0.0041

1.1573

0.0145

1.8939

0.1063

7.0069^***

−0.0643

1.7677

0.1956

3.5127^***

Bolivia

0.0111

1.4534

0.0234

1.0724

−0.0484

1.7936

0.2597

4.4591^***

0.2528

1.1190

−0.5393

2.7463^**