### Table B.III: Moments of Factor Premiums apos; Posterior Distributions RMRF SMB HML

2003

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### Table 3 Average return and standard deviation of the factor portfolios Average returns and standard deviations of the factor portfolios are presented in % in panel A. All factor portfolio statistics are reported in synthetic Euro (EURO) and Deutschmark (DEM). The global market portfolio is a market-capitalization weighted average of all available stocks. The equity premium is the difference between the average return on the global market portfolio and the risk-free rate. HML is the factor portfolio based on the return differential between the high book-to-market multifactor minimum variance portfolio and the low book-to-market MMV portfolio. LMOM is the factor portfolio based on the return differential between the local losers MMV portfolio and the local winners MMV portfolio. Panel B reports the correlations between the factors for the two currencies of denomination.

"... In PAGE 10: ... The momentum portfolio rebalancing is performed on a monthly basis and the return differential is calculated as a difference between two equally weighted portfolios. Table3 shows the averages and standard deviations for the three factors. The return premia associated with the factors is similar for DEM and Euro.... ..."

### Table 7: P/B strategy returns and the Fama amp; French factor model (international value factor). The table shows the results of the regression of the price-to-book quartile portfolio excess returns on the excess returns of the MSCI AC World index in US$ and the Fama and French HML value factor for international developed markets. Estimates are also listed for the zero-investment price-to-book portfolio (Long/Short) and the equally weighted market index (EW Index). We refer to Fama and French [1998] for more information on the HLM factor portfolio.

"... In PAGE 11: ...alue 2.58), while the factor model can only explain 4% of its return variance. Even after imposing transaction costs of 1% per trade, the alpha of the long-short portfolio is still significant at the 10% level, so transactions costs are not affecting these conclusions. Table7 reports the result of a factor regression of the portfolio excess returns on the MSCI AC World Index excess returns and the HML value factor for international developed markets (described in Fama and French [1998]). The conclusions are similar: the first quartile portfolio of low P/B countries has a higher exposure to the international value factor than the fourth, however this difference in exposure cannot explain the returns properly: the alpha of the long-short portfolio is 1.... ..."

### Table VII. The information in the mimicking portfolios about the Fama-French factors

2003

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### Table 9: Regressions of the Fama-French factors on the estimated Connor-Korajczyk portfolios. The marker factor is the excess return on the FF market portfolio. SMB is the difference between the returns of a small and a large firm portfolio; HML is the difference between the returns on a high book to market ratio portfolio and a low book to market ratio portfolio. C-K (k = 1,..,5) denotes the k Connor-Korajczyk factor portfolio returns.

"... In PAGE 26: ...ortfolio; this portfolio alone has a SSR of 0.0381, which is four times that of the market portfolio. This is not surprising because the size and market to book ratio factors were chosen on the basis of these characteristics apos; role in explaining the cross-sectional structure of equity returns. Table9 reports the results of regressing the three FF factors on the C-K factors. The FF... ..."

### Table 8:Excess Returns and Sharpe Ratios for the Fama-French Factors. Mean monthly excess returns for the Fama-French factors for the period July 1963 to December 1989. SMB is the difference between the returns of a small and a large firm portfolio and HML is the difference between the returns on a high book to market ratio portfolio and a low book to market ratio portfolio.The Sharpe Ratio corresponding to a factor is the ratio of the mean excess return of a factor to its standard deviation. The aggregate squared Sharpe Ratio is the estimated squared Sharpe Ratio of the tangency portfolio formed from the 3 portfolios.

"... In PAGE 24: ... However, we found that the 6th lag of Factor 2 and the 12th lag of Factor 3 were significant in the regression of Factor 1 on its own and cross-laggged returns. Panel B of Table8 reveals that there is only weak evidence of autocorrelation in the second subperiod. Overall, our analysis suggests that a significant part of the... In PAGE 26: ...he factor risk premia are jointly zero are 0.31 and 0.24. Thus, in accounting for the return 37 anomalies with the C-K factors, we have not had to rely on factors with implausibly high risk premia - indeed we cannot even reject the null hypothesis that the five portfolio factor risk premia are jointly zero. As shown in Table8 , the aggregate SSR for the FF factors is 0.056 with a p-value of 0.... ..."

### TABLE I VHDL and HML comparision

1995

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### Table 1. HML search sources

"... In PAGE 2: ...43-53 2 Inquiring photos in the web This section presents an example of using the proposed meta-search engine in order to reveal all possible results for an image query. It must be noted that the web search services used are depicted in Table1 , where AlltheWeb, AltaVista and Excite sup- port image search. Table 1.... In PAGE 2: ... After merging the results and removing the duplicate fields the meta-search engine returned 27 images, from which only 14 of them are actually photos that fulfill the submitted query. Table1 . Unified query syntax Boolean Operator Symbol Example AND * term1*term2 OR + term1+term2 NOT - term1-term2 ... ..."