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