Annual returns for nine 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%), and for DF = 8, 3.3554 (1%), 2.3060 (5%) and 1.8595 (10%). 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 |
Zambia | 0.0357 | 1.2039 | 0.1293 | −0.9241 | −0.0414 | 2.4129 |
| 0.3545 | 1.5723 | 0.7058 | −0.4865 | −0.1744 | 1.3961 |
Suriname | 0.0801 | 0.7640 | 0.4587 | −4.1117 | −0.2128 | 2.6130 |
| 0.5532 | 0.6945 | 1.3354 | −1.1541 | −1.5409 | 2.6022** |
Democratic Republic of Congo | −0.0327 | 1.6314 | −0.1217 | 1.9019 | 0.0785 | 0.6670 |
| −0.4662 | 3.0651*** | −1.3392 | 2.0178* | 0.4296 | 0.5020 |
Chile | 0.0065 | 1.2817 | −0.0424 | 1.9228 | −0.0475 | 1.7696 |
| 0.2112 | 5.4956*** | −1.3236 | 5.7826*** | −0.5166 | 2.6486** |
Peru | 0.0299 | 1.1447 | −0.0079 | 1.3388 | 0.0304 | 1.3915 |
| 1.0125 | 5.0995*** | −0.1314 | 2.1556* | 0.4821 | 3.0349** |
Mali | −0.0408 | 1.6273 | 0.0118 | 0.9654 | −0.2678 | 2.4757 |
| −0.5404 | 2.8373*** | 0.1280 | 1.0066 | −1.4806 | 1.8821* |
Mauritania | −0.0375 | 1.4615 | −0.0801 | 1.2103 | 0.0024 | 1.4977 |
| −1.0831 | 5.5595*** | −1.4849 | 2.1628* | 0.0286 | 2.4748** |
Guyana | 0.0615 | 0.3372 | 0.1394 | −0.3349 | −0.0506 | 0.8665 |
| 1.8897 | 1.3648 | 1.9935 | −0.4620 | −1.0319 | 2.4297** |
Sierra Leone | 0.5214 | 4.0710 | −0.1736 | 0.2377 | 1.4127 | 5.4991 |
| 0.4847 | 0.4982 | −0.9824 | 0.1297 | 0.3640 | 0.1949 |