Panel A: | Estimator | Predictor |
|
|
|
|
CSI 100 | OLS | PE | 0.1524979 | 0.1526156 | 0.1524993 | 0.1351201 |
|
| PB | 0.1854765 | 0.1856197 | 0.1854673 | 0.0977987 |
| AOLS | PE | 0.0131833 | 0.0131935 | 0.0131832 | 0.0037411 |
|
| PB | 0.0264872 | 0.0265077 | 0.0264868 | 0.0047424 |
| FGLS | PE | 0.0120899 | 0.0120992 | 0.0120903 | 0.0035177 |
|
| PB | 0.0469317 | 0.0469680 | 0.0469304 | 0.0362444 |
CSI 300 | OLS | PE | 0.1522523 | 0.1523699 | 0.1522517 | 0.1462222 |
|
| PB | 0.1894076 | 0.1895539 | 0.1894059 | 0.1000078 |
| AOLS | PE | 0.0395748 | 0.0396054 | 0.0395749 | 0.0020492 |
|
| PB | 0.0253435 | 0.0253631 | 0.0253440 | 0.0026795 |
| FGLS | PE | 0.0507375 | 0.0507767 | 0.0507387 | 0.0019753 |
|
| PB | 0.1075630 | 0.1076461 | 0.1075636 | 0.0406054 |
SSE Composite | OLS | PE | 0.1583343 | 0.1584565 | 0.1583352 | 0.1563952 |
| PB | 0.1817683 | 0.1819087 | 0.1817740 | 0.0920101 | |
| AOLS | PE | 0.0651985 | 0.0652489 | 0.0651972 | 0.0036314 |
|
| PB | 0.0495767 | 0.0496150 | 0.0495767 | 0.0063621 |
| FGLS | PE | 0.1613704 | 0.1614951 | 0.1613705 | 0.0417918 |
|
| PB | 0.0921656 | 0.0922368 | 0.0921659 | 0.0304367 |
SZSE Component | OLS | PE | 0.1699075 | 0.1700387 | 0.1699075 | 0.1657784 |
| PB | 0.2142779 | 0.2144433 | 0.2142803 | 0.1000440 | |
| AOLS | PE | 0.0878066 | 0.0878745 | 0.0878077 | 0.0006153 |
|
| PB | 0.0870442 | 0.0871115 | 0.0870440 | 0.0037958 |
| FGLS | PE | 0.0216614 | 0.0216781 | 0.0216600 | 0.0261532 |
|
| PB | 0.2524195 | 0.2526146 | 0.2524097 | 0.0647129 |