ret_2yearlag_RF ret_dropped_RF ret_year_before_added_RF Mkt_RF SMB HML
. . 8.914111 7.03 0.01 -0.15 Returns in Columns B-F created using Fortune lists from Alex Edmans.
. . 4.854949 4.76 -0.93 1.03 Returns in Columns G-I from Kenneth R. French Data Librabry.
. . 4.247181 0.73 0.22 0.78
. . -6.415591 -3.07 -3.75 4.15
. . 4.71192 3.18 -3.14 -2.34 SUMMARY OUTPUT
. . -3.600811 -2.46 -5.13 -0.98
. . -19.47449 -16.08 -5.3 3.39 Regression Statistics
. . 15.87231 6.15 -0.14 -3.26 Multiple R 0.950232712
. . 5.885649 7.13 -3.3 -2.2 R Square 0.90
. . 5.280439 6.1 1.06 -3.13 Adjusted R Square 0.902396938
. . 5.577207 6.16 -0.34 -4.45 Standard Error 1.835974089
. . 0.5194282 3.5 0.37 -4.03 Observations 180
. -3.310492 -3.902207 -4.08 -5.64 1.37
. 7.270904 9.57024 3.45 -3.93 -2.65 ANOVA
. 2.864668 0.5038328 4.33 3.96 2.54 df SS MS
. 0.924669 1.573546 -2.46 3.46 2.33 Regression 1 5581.907513 5581.907513
. 4.619055 8.767651 4.77 3.04 -3.58 Residual 178 600.0025522 3.370800855
. -4.088392 -4.631882 -3.47 2.66 -0.8 Total 179 6181.910065
. -0.6688481 0.818826 -1.38 -1.35 -1.27
. -5.563995 0.5387454 -2.81 3.33 -3.37 Coefficients Standard Error t Stat
. -0.3387982 13.09508 6.13 -6.87 -2.98 Intercept 0.38 0.137185675 2.80450304
. 3.560011 5.611226 3.37 7.4 -6.51 X Variable 1 1.14 0.028087881 40.69347431
. 3.209459 10.59693 7.72 7.15 -8.68
. -7.229894 -4.256919 -4.74 5.01 -0.45
0.885386 7.159494 22.40688 2.45 22.08 -10.49 SUMMARY OUTPUT
8.92599 8.130803 5.933909 5.2 -17.17 7.86
-2.354592 -3.684579 -4.746764 -6.4 -7.77 8.57 Regression Statistics
-1.1212887 -1.1340753 -3.059893 -4.42 -4.94 2.39 Multiple R 0.954982785
1.695838 1.145989 9.561576 4.64 13.95 -10.03 R Square 0.91
2.118649 2.164925 -0.5521096 -2.51 -2.78 8.15 Adjusted R Square 0.910491986
6.306346 11.22089 11.85298 7.03 -1.11 -0.69 Standard Error 1.758189921
-1.1237739 -2.680285 -1.1372365 -5.45 -1.4 6.23 Observations 180
3.868648 6.053089 3.80861 -2.76 -3.77 5.55
-5.813298 -9.182256 -7.866431 -10.72 -2.77 11.29 ANOVA
3.414621 0.597705 6.318042 1.19 0.96 7.3 df SS MS
4.425359 14.1374 -0.4611495 3.13 6.56 -4.88 Regression 3 5637.853268 1879.284423
-10.74741 -10.277934 -1.862729 -10.05 -0.72 12.91 Residual 176 544.0567967 3.091231799
-8.020531 -8.275771 -8.736607 -7.26 0.39 6.49 Total 179 6181.910065
8.685211 4.667399 2.37984 7.94 0.5 -4.69
0.6217083 1.998606 4.55733 0.72 2.6 3.13 Coefficients Standard Error t Stat
-0.0839337 -0.8944683 4.834529 -1.94 6.03 -1.09 Intercept 0.32 0.132375476 2.389581437
-0.2694998 -4.495768 -0.5106616 -2.13 -4.35 5.61 X Variable 1 1.13 0.027919769 40.37447336
-6.185834 -8.794517 0.952486 -6.46 2.5 2.56 X Variable 2 0.14 0.038760154 3.71690929
-17.23247 -13.20402 -6.755335 -9.25 -6.11 1.56 X Variable 3 0.12 0.040024311 3.110359254
6.812243 5.824086 5.863301 2.46 7.56 -8.02
12.1492 12.72609 10.9452 7.54 -0.4 2
5.417113 2.795847 2.150571 1.61 4.56 1.08 SUMMARY OUTPUT
0.4918293 -0.517589 1.622973 -1.44 1.19 3.35
-4.931914 -9.835344 0.2250313 -2.29 -1.14 2.51 Regression Statistics
4.378569 6.426405 13.96795 4.24 4.26 1.11 Multiple R 0.937862346
-7.461193 -8.608151 -6.073088 -5.2 5.94 3.92 R Square 0.87958578
-0.9507594 -6.193638 -3.088951 -1.38 -3.22 1.7 Adjusted R Square 0.878909296
-10.52563 -14.79566 -4.094837 -7.21 4.26 0.12 Standard Error 1.969908465
-9.87216 -6.076957 -13.50697 -8.18 -5.37 -3.52 Observations 180
2.504843 3.073567 -1.316429 0.5 -2.43 2.53
-11.92087 -15.83946 -14.45405 -10.35 2.55 1.26 ANOVA
13.81422 23.83089 6.249904 7.84 -2.86 -5.4 df SS MS
13.65007 14.68561 16.7625 5.96 2.95 -0.95 Regression 1 5045.596524 5045.596524
-9.270693 -9.301343 -7.599841 -5.76 0 2.21 Residual 178 690.7360062 3.880539361
0.3300304 6.240528 -2.160864 -2.57 1.44 -0.83 Total 179 5736.33253
-1.818402 -2.73685 0.5030691 -1.88 -0.35 -1.47
1.761446 -1.0025443 2.142581 1.09 1 -1.93 Coefficients Standard Error t Stat
8.791563 9.013257 8.653597 8.22 0.61 1.11 Intercept 0.383074116 0.147216504 2.602113931
9.425408 7.957022 15.93528 6.05 4.84 -0.1 X Variable 1 1.141857196 0.03166661 36.05871226
2.960227 2.370754 2.408484 1.42 1.6 0.57
4.890689 3.781716 -0.7128305 2.35 5.34 -1.02
4.813701 3.220743 6.387634 2.34 2.65 2.1
-0.6568459 -1.442274 -4.464624 -1.24 0.81 0.01 SUMMARY OUTPUT
9.65134 11.10798 9.322021 6.08 2.81 1.93
1.253757 2.326551 4.332209 1.35 2.16 1.96 Regression Statistics
1.24538 2.205505 0.3469247 4.29 -3.05 2.35 Multiple R 0.928203051
4.120104 1.427931 1.327723 2.15 2.74 1.96 R Square 0.861560903
2.010801 2.216396 2.313617 1.4 -1.43 0.48 Adjusted R Square 0.860783156
