LOG LIKELIHOOD FOR ALL PANELS A-C WITH DUMMIES FOR ADR, CF, AND ADR+CF |
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NO CONTROLS BUT WITH COUNTRY SPECIFIC INTERCEPTS AND CORRECT VCV ESTIMATION |
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Indicates possible optimum |
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Dividend Yields |
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Volatility |
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Beta |
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Correlation |
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Excess Returns |
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ADR |
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ADR |
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ADR |
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ADR |
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ADR |
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LIKELIHOOD |
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LIKELIHOOD |
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LIKELIHOOD |
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LIKELIHOOD |
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LIKELIHOOD |
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LAMDA |
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LAMDA |
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LAMDA |
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LAMDA |
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LAMDA |
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0.99 |
-1058.76 |
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0.99 |
219.6229 |
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0.99 |
4034.222 |
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0.99 |
6132.257 |
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0.99 |
3791.892 |
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0.985 |
-1058.94 |
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0.985 |
219.6947 |
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0.985 |
4038.208 |
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0.985 |
6134.131 |
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0.985 |
3791.829 |
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0.975 |
-1059.02 |
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0.975 |
219.7147 |
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0.975 |
4041.442 |
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0.975 |
6135.813 |
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0.975 |
3791.726 |
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0.95 |
-1059.88 |
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0.95 |
219.6384 |
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0.95 |
4046.567 |
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0.95 |
6138.852 |
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0.95 |
3791.416 |
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0.9 |
-1062.31 |
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0.9 |
219.37 |
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0.9 |
4051.3 |
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0.9 |
6141 |
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0.9 |
3790.9 |
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0.8 |
-1065.4 |
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0.8 |
219.05 |
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0.8 |
4053.6 |
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0.8 |
6139 |
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0.8 |
3790.3 |
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0.7 |
-1066.3 |
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0.7 |
218.93 |
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0.7 |
4050.1 |
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0.7 |
6133.9 |
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0.7 |
3790 |
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0.6 |
-1066 |
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0.6 |
218 |
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0.6 |
4044.8 |
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0.6 |
6129 |
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0.6 |
3790 |
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0.5 |
-1065.3 |
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0.5 |
218.87 |
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0.5 |
4039 |
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0.5 |
6125.1 |
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0.5 |
3789.9 |
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0.4 |
-1064.4 |
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0.4 |
218.8 |
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0.4 |
4035.4 |
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0.4 |
6122 |
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0.4 |
3789.8 |
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0.3 |
-1063.4 |
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0.3 |
218.81 |
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0.3 |
4031.5 |
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0.3 |
6119.5 |
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0.3 |
3789.8 |
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0.2 |
-1062.6 |
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0.2 |
218.77 |
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0.2 |
4028 |
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0.2 |
6117.5 |
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0.2 |
3789.7 |
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0.1 |
-1062 |
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0.1 |
218.73 |
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0.1 |
4024.9 |
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0.1 |
6116.1 |
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0.1 |
3789.7 |
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0.05 |
-1061.7 |
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0.05 |
218.7 |
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0.05 |
4023.5 |
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0.05 |
6115.6 |
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0.05 |
3789.6 |
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0.025 |
-1061.66 |
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0.025 |
218.6943 |
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0.025 |
4022.846 |
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0.025 |
6115.454 |
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0.025 |
3789.679 |
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0.015 |
-1061.62 |
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0.015 |
218.6894 |
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0.015 |
4022.59 |
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0.015 |
6115.394 |
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0.015 |
3789.673 |
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COUNTRY FUNDS |
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COUNTRY FUNDS |
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COUNTRY FUNDS |
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COUNTRY FUNDS |
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COUNTRY FUNDS |
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LIKELIHOOD |
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LIKELIHOOD |
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LIKELIHOOD |
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LIKELIHOOD |
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LIKELIHOOD |
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LAMDA |
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LAMDA |
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LAMDA |
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LAMDA |
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LAMDA |
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0.99 |
-1068.77 |
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0.99 |
218.2696 |
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0.99 |
4021.089 |
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0.99 |
6120.379 |
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0.99 |
3789.679 |
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0.985 |
-1069.27 |
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0.985 |
218.2409 |
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0.985 |
4021.515 |
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0.985 |
6120.322 |
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0.985 |
3789.676 |
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0.975 |
-1069.76 |
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0.975 |
218.2123 |
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0.975 |
4021.906 |
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0.975 |
6120.276 |
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0.975 |
3789.672 |
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0.95 |
-1070.96 |
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0.95 |
218.1427 |
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0.95 |
4022.665 |
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0.95 |
6120.237 |
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0.95 |
3789.657 |
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0.9 |
-1073.63 |
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0.9 |
218.01 |
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0.9 |
4022.8 |
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0.9 |
6120.5 |
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0.9 |
3789.6 |
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0.8 |
-1079.27 |
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0.8 |
217.8 |
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0.8 |
4019.6 |
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0.8 |
6121.2 |
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0.8 |
3789.4 |
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0.7 |
-1079.83 |
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0.7 |
217.66 |
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0.7 |
4015.4 |
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0.7 |
6121.5 |
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0.7 |
3789.3 |
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0.6 |
-1076.09 |
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0.6 |
217.43 |
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0.6 |
4012 |
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0.6 |
6121.9 |
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0.6 |
3789.3 |
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0.5 |
-1072.89 |
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0.5 |
217.14 |
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0.5 |
4009 |
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0.5 |
6122.3 |
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0.5 |
3789 |
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0.4 |
-1071.36 |
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0.4 |
216.82 |
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0.4 |
4006.9 |
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0.4 |
6122.6 |
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0.4 |
3789.7 |
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0.3 |
-1070.85 |
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0.3 |
216.5 |
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0.3 |
4005.7 |
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0.3 |
6123 |
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0.3 |
3789.9 |
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0.2 |
-1070.8 |
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0.2 |
216.19 |
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0.2 |
4005 |
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0.2 |
6123.6 |
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0.2 |
3790.2 |
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0.1 |
-1071 |
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0.1 |
215.92 |
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0.1 |
4005.1 |
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0.1 |
6124.3 |
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0.1 |
3790 |
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0.05 |
-1071.07 |
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0.05 |
215.8 |
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0.05 |
4005 |
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0.05 |
6124.6 |
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0.05 |
3790 |
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0.025 |
-1071.09 |
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0.025 |
215.7498 |
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0.025 |
4004.972 |
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0.025 |
6124.906 |
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0.025 |
3790.649 |
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0.015 |
-1071.09 |
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0.015 |
215.7289 |
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0.015 |
4004.949 |
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0.015 |
6124.991 |
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0.015 |
3790.671 |
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ADR + COUNTRY FUNDS |
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ADR + COUNTRY FUNDS |
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ADR + COUNTRY FUNDS |
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ADR + COUNTRY FUNDS |
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ADR + COUNTRY FUNDS |
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LIKELIHOOD |
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LIKELIHOOD |
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LIKELIHOOD |
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LIKELIHOOD |
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LIKELIHOOD |
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LAMDA |
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LAMDA |
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LAMDA |
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LAMDA |
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LAMDA |
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0.99 |
-1060.47 |
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0.99 |
218.5181 |
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0.99 |
4038.881 |
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0.99 |
6131.801 |
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0.99 |
3791.231 |
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0.985 |
-1062.03 |
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0.985 |
218.4139 |
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0.985 |
4043.576 |
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0.985 |
6133.282 |
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0.985 |
3791.06 |
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0.975 |
-1062.96 |
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0.975 |
218.3086 |
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0.975 |
4046.858 |
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0.975 |
6134.439 |
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0.975 |
3790.892 |
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0.95 |
-1064.57 |
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0.95 |
218.1019 |
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0.95 |
4049.889 |
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0.95 |
6135.982 |
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0.95 |
3790.552 |
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0.9 |
-1068.37 |
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0.9 |
217.92 |
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0.9 |
4047.2 |
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0.9 |
6134.9 |
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0.9 |
3790.1 |
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0.8 |
-1075.26 |
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0.8 |
217.88 |
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0.8 |
4035 |
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0.8 |
6129.7 |
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0.8 |
3789.7 |
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0.7 |
-1076.53 |
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0.7 |
217.83 |
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0.7 |
4023 |
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0.7 |
6126.4 |
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0.7 |
3789.4 |
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0.6 |
-1074.79 |
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0.6 |
217.66 |
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0.6 |
4014.8 |
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0.6 |
6125.1 |
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0.6 |
3789.2 |
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0.5 |
-1072.98 |
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0.5 |
217.39 |
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0.5 |
4009.6 |
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0.5 |
6124 |
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0.5 |
3789.2 |
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0.4 |
-1071.99 |
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0.4 |
217.07 |
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0.4 |
4006.7 |
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0.4 |
6124 |
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0.4 |
3789.2 |
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0.3 |
-1071.85 |
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0.3 |
216.73 |
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0.3 |
4005.3 |
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0.3 |
6124.2 |
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0.3 |
3789 |
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0.2 |
-1072.52 |
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0.2 |
216.39 |
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0.2 |
4004.9 |
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0.2 |
6124 |
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0.2 |
3789 |
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0.1 |
-1073.76 |
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0.1 |
216.08 |
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0.1 |
4004.9 |
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0.1 |
6124.4 |
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0.1 |
3789.7 |
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0.05 |
-1074.46 |
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0.05 |
215.95 |
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0.05 |
4005 |
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0.05 |
6124.4 |
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0.05 |
3789.8 |
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0.025 |
-1074.81 |
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0.025 |
215.8875 |
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0.025 |
4005.078 |
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0.025 |
6124.543 |
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0.025 |
3789.943 |
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0.015 |
-1074.95 |
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0.015 |
215.8631 |
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0.015 |
4005.102 |
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0.015 |
6124.563 |
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0.015 |
3789.966 |
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