Gordon - FHERM - 1997 - (A5) Table 5

[FINITE HORIZON EXPECTED RETURN MODEL]

Joseph R. Gordon and Myron J. Gordon (1997)
"THE FINITE HORIZON EXPECTED RETURN MODEL"
Financial Analysts Journal, vol. 53, no. 3 (May/June):52-61
[Abstract] [Introduction] [Derivation of the FHERM] [Test of the Joint Hypothesis] [Estimation of Variables] [Explanation of Results] [Agreement with the Tax-Adjusted CAPM] [Conclusion] [Notes] [References] [Table 1] [Table 2] [Table 3] [Table 4] [Table 5]

TABLE 5
Simple Correlations among EXR, BETA, and DYD, with Three Horizons and for 28 S&P 500 End-of-Quarter Samples, 1985-91

	`____EXR_and_BETA____`			`____EXR_and_DYD_____`
`_Date__`	`_0_Yrs`	`_7_Yrs`	`-->INF`	`_0_Yrs`	`_7_Yrs`	`-->INF`	`BETA_and_DYD`
`1985_Q1`	`-0.196`	`-0.122`	`0.187`	`0.457`	`0.474`	`-0.112`	`-0.475`
`1985_Q2`	`-0.181`	`-0.131`	`0.231`	`0.420`	`0.482`	`-0.092`	`-0.463`
`1985_Q3`	`-0.177`	`-0.130`	`0.167`	`0.447`	`0.548`	`0.024`	`-0.416`
`1985_Q4`	`-0.188`	`-0.133`	`0.173`	`0.491`	`0.541`	`-0.062`	`-0.448`
`1986_Q1`	`-0.088`	`-0.047`	`0.164`	`0.327`	`0.473`	`-0.021`	`-0.437`
`1986_Q2`	`0.058`	`0.144`	`0.219`	`0.289`	`0.359`	`-0.091`	`-0.402`
`1986_Q3`	`0.073`	`0.139`	`0.227`	`0.308`	`0.316`	`-0.136`	`-0.429`
`1986_Q4`	`0.026`	`0.103`	`0.232`	`0.343`	`0.302`	`-0.169`	`-0.426`
`1987_Q1`	`-0.052`	`-0.021`	`0.144`	`0.428`	`0.414`	`-0.099`	`-0.455`
`1987_Q2`	`0.018`	`0.074`	`0.182`	`0.439`	`0.444`	`-0.096`	`-0.431`
`1987_Q3`	`-0.016`	`0.062`	`0.234`	`0.425`	`0.436`	`-0.109`	`-0.452`
`1987_Q4`	`-0.032`	`0.029`	`0.148`	`0.334`	`0.422`	`0.027`	`-0.491`
`1988_Q1`	`-0.051`	`-0.033`	`0.103`	`0.392`	`0.478`	`0.028`	`-0.525`
`1988_Q2`	`-0.050`	`-0.041`	`0.096`	`0.315`	`0.396`	`-0.011`	`-0.544`
`1988_Q3`	`0.054`	`0.053`	`0.101`	`0.269`	`0.377`	`-0.008`	`-0.533`
`1988_Q4`	`0.007`	`0.007`	`0.117`	`0.246`	`0.368`	`-0.016`	`-0.551`
`1989_Q1`	`0.063`	`0.043`	`0.068`	`0.330`	`0.405`	`-0.056`	`-0.549`
`1989_Q2`	`0.049`	`0.084`	`0.152`	`0.341`	`0.338`	`-0.169`	`-0.534`
`1989_Q3`	`0.048`	`0.121`	`0.208`	`0.362`	`0.386`	`-0.159`	`-0.504`
`1989_Q4`	`0.109`	`0.175`	`0.198`	`0.331`	`0.364`	`-0.115`	`-0.459`
`1990_Q1`	`0.085`	`0.127`	`0.161`	`0.394`	`0.472`	`-0.016`	`-0.408`
`1990_Q2`	`0.060`	`0.109`	`0.203`	`0.425`	`0.520`	`-0.023`	`-0.405`
`1990_Q3`	`0.247`	`0.345`	`0.296`	`0.360`	`0.473`	`0.102`	`-0.204`
`1990_Q4`	`0.107`	`0.236`	`0.261`	`0.295`	`0.433`	`0.030`	`-0.293`
`1991_Q1`	`-0.009`	`0.115`	`0.219`	`0.400`	`0.416`	`-0.142`	`-0.404`
`1991_Q2`	`-0.054`	`0.052`	`0.195`	`0.371`	`0.379`	`-0.110`	`-0.425`
`1991_Q3`	`0.007`	`0.132`	`0.222`	`0.344`	`0.371`	`-0.129`	`-0.417`
`1991_Q4`	`-0.014`	`0.065`	`0.184`	`0.367`	`0.411`	`-0.127`	`-0.488`

`Mean___`	`-0.003`	`0.056`	`0.182`	`0.366`	`0.421`	`-0.066`	`-0.449`

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