Annual returns for six countries in the portfolio. The first row gives the value of the coefficients. The second row gives the t-stat for the coefficients. The critical values for t-stat for DF = 22 are 2.8188 (1%), 2.0739 (5%) and 1.7171 (10%), and for DF = 8, 3.3554 (1%), 2.3060 (5%) and 1.8595 (10%). These are designated by ^***, ^** and ^* respectively.

Sample Period 1989-2012

Sample Period 1989-1998

Sample Period 1999-2008

Country

Intercept

Slope

Intercept

Slope

Intercept

Slope

Malawi

0.0608

0.0308

−0.0043

0.9425

0.0588

0.0034

1.3757

0.0917

−0.0443

0.9409

0.6126

0.0049