00Thaler_FM i-xxvi.qxd

Table

8.6 (

cont.

)

Panel 1

Panel 2

Panel 3

(C/P:9, 10 – 1, 2)

(C/P-GS:3, 1 – 1, 3)

(B/M:9, 10 – 1, 2)

1-Year

3-Year

5-Year

1-Year

3-Year

5-Year

1-Year

3-Year

5-Year

1973

0.021

0.382

0.846

0.152

0.702

1.416

0.042

0.450

0.925

1974

−0.007

0.496

1.343

0.069

0.650

1.597

0.050

0.642

1.726

1975

0.262

0.816

1.310

0.379

1.115

1.229

0.418

1.034

1.182

1976

0.174

0.673

1.468

0.217

0.715

1.235

0.132

0.727

0.993

1977

0.193

0.247

0.764

0.219

0.149

0.844

0.195

0.181

0.614

1978

0.048

−0.106

0.272

0.039

−0.072

0.581

0.037

−0.264

0.286

1979

−0.168

−0.102

0.274

−0.176

0.098

0.757

−0.207

−0.123

0.569

1980

0.039

0.745

1.225

0.110

1.246

2.000

−0.034

1.066

1.676

1981

0.203

0.650

1.584

0.236

0.940

2.134

0.185

0.810

1.955

1982

−0.032

0.338

1.253

0.118

0.539

1.886

0.240

0.589

1.477

1983

0.204

0.332

0.851

0.252

0.578

1.470

0.221

0.256

0.648

1984

0.192

0.552

0.888

0.052

0.641

1.092

0.043

0.324

0.640

1985

0.014

0.322

0.576

−0.032

0.531

0.708

−0.007

0.237

0.299

1986

0.108

0.339

0.196

0.427

0.051

0.149

1987

0.093

0.170

0.111

0.290

0.078

0.015

1988

0.092

0.089

−0.037

1989

−0.063

0.010

−0.207

A

verage

0.079

0.357

0.841

0.102

0.464

1.073

0.063

0.344

0.842

t-statistic

3.379

6.164

7.630

3.746

4.524

5.939

2.076

3.475

7.104