Predictable Dynamics in the Small Stock Premium

Table 6

The results of the estimations of different predictive regressions for the dynamics of the SMB factor. AIC is the Akaike Information Criterion. The 𝑃 values are given in brackets. Bold text indicates values that are statistically significant at the 5% level.

Regression	𝛽0	𝛽𝐽	𝛽1	𝛽^DN1	𝛽^UP1	𝛽𝐴	𝛽𝐽𝐴	𝛽1𝐴	𝛽^DN1𝐴	𝛽^UP1𝐴	Adjusted 𝑅^2	AIC
(3)	0.25 (0.02)	—	—	—	—	—	—	—	—	—	—	—
(4)	0.07 (0.54)	2.23 (0.00)	—	—	—	—	—	—	—	—	0.033	5252
(5)	−0.06 (0.60)	2.09 (0.00)	0.16 (0.00)	—	—	—	—	—	—	—	0.091	5190
(6)	−0.75 (0.00)	2.24 (0.00)	—	−0.04 (0.20)	0.32 (0.00)	—	—	—	—	—	0.132	5145
(7)	−0.08 (0.53)	1.87 (0.00)	—	—	—	0.57 (0.02)	1.41 (0.10)	—	—	—	0.041	5245
(8)	−0.79 (0.00)	1.66 (0.00)	—	−0.03 (0.39)	0.32 (0.00)	0.25 (0.30)	2.24 (0.01)	—	—	—	0.140	5138
(9)	−0.73 (0.00)	1.75 (0.00)	—	−0.08 (0.05)	0.27 (0.00)	0.18 (0.44)	2.22 (0.01)	0.10 (0.01)	—	—	0.145	5133
(10)	−0.45 (0.01)	1.72 (0.00)	—	0.01 (0.84)	0.18 (0.00)	−0.47 (0.16)	2.39 (0.00)	—	−0.06 (0.35)	0.25 (0.00)	0.151	5126
(12)	0.07 (0.54)	1.73 (0.00)	—	—	—	—	1.98 (0.02)	—	—	—	0.037	5248