Table 5: Time series estimates of factor sensitivity.
(a) Model 1: using 90-day bank bill rate as discount rate proxy (n = 162)

FirmAIAAIRMCKNZERBDSKCTHL

Expected returns0.684−1.4270.1791.1700.2870.489−0.283
dlog mkt0.8871.1730.5230.2100.6321.1081.518
dlog ms−0.088−0.0520.084−0.0450.052−0.010−0.211
Change in bbr0.0826.5417.0895.216−0.748−2.2076.880
dlog Ta
0.017
−0.039
−0.001
0.109
−0.022
0.016
−0.004
Adjusted 0.290.150.090.010.080.400.34

(b) Model 2: using term premium as discount rate proxy (n = 162)

FirmAIAAIRMCKNZERBDSKCTHL

Expected returns0.686−1.5070.0801.0480.3090.531−0.366
dlog mkt0.8851.2170.5770.2750.6201.0861.564
dlog ms−0.092−0.0630.0880.0230.036−0.026−0.223
Change in tmp0.349−1.488−3.053−7.9741.6872.183−1.453
dlog Ta
0.017
−0.039
−0.003
0.103
−0.021
0.018
−0.004
Adjusted 0.290.140.060.020.090.400.32

(c) Model 3: using official cash rate as discount rate proxy (n = 162)

FirmAIAAIRMCKNZERBDSKCTHL

Expected returns0.676−1.4320.1421.0700.2830.505−0.305
dlog mkt0.8911.1710.5410.2700.6351.1001.527
dlog ms−0.096−0.0060.097−0.1240.042−0.009−0.182
Change in ocr−0.8358.2784.877−6.262−1.509−0.9356.469
dlog Ta
0.017
−0.035
0.002
0.107
−0.023
0.016
−0.0002
Adjusted 0.290.160.070.010.090.400.34