Frequency

Parameter

Negative risk premium

Negative market return

Positive market return

Number of observations

49,984

Daily

Absolute proportion

38,777

26,336

23,552

Relative proportion

77.58%

52.69%

47.12%

t-value6

−6.5853

−141.9717

125.9184

Mean

−0.0021905

−0.002807

0.0026455

Standard deviation

0.0743666

0.0044203

0.0046971

skewness (0)

−39.44609

−2.5040444

2.86864

kurtosis (3)

1904.962

11.48958

13.6968

Jarque-Bera (5.99)

4,378,617.4721

378.65883

178.2749