Table 7: Quarterly and Yearly Asymmetric Partial Adjustment Estimation Quarterly and yearly fixed effect estimations of the asymmetric partial adjustment model presented in Eqs. (8)-(10) for U.S.-based equity mutual funds from January 2000 to December 2012. The Dependent variable is the Sharpe Ratio. Independent variables are the market Sharpe Ratio and the Sharpe Ratio of the average fund in the same Lipper Class. Second order lags of the dependent variable are also included to ensure proper specification of the model. ***, **, and * denote significance at the 1%, 5%, and 10% levels, respectively. Panel A: Quarterly Estimates Variable Coefficient Std. Error t-Statistic Prob. 0.0126*** 0.0048 2.641 0.008 Intercept 0.1032** 0.0448 2.305 0.021 highadjust1 0.0007 0.0006 1.226 0.220 highadjust2 -0.0346 0.0341 -1.015 0.310 lowadjust1 -0.0001 0.0002 -0.275 0.783 lowadjust2 0.9421*** 0.0387 24.318 0.000 Market Sharpe 0.0057 0.0036 1.597 0.110 Classification Sharpe 0.752 R-Square 23,198 No. of Funds 602,017 N Panel B: Yearly Estimates Variable Coefficient Std. Error t-Statistic Prob. 0.0469** 0.0230 2.042 0.041 Intercept 0.0133 0.0823 0.161 0.872 highadjust1 0.0754 0.0537 1.405 0.160 highadjust2 -0.0628* 0.0354 -1.776 0.076 lowadjust1 -0.0537* 0.0302 -1.777 0.076 lowadjust2 0.8922*** 0.0510 17.479 0.000 Market Sharpe 0.0001 0.0025 0.037 0.971 Classification Sharpe 0.834 R-Square 24,158 No. of Funds 123,302 N
Table 7: Quarterly and Yearly Asymmetric Partial Adjustment Estimation Quarterly and yearly fixed effect estimations of the asymmetric partial adjustment model presented in Eqs. (8)-(10) for U.S.-based equity mutual funds from January 2000 to December 2012. The Dependent variable is the Sharpe Ratio. Independent variables are the market Sharpe Ratio and the Sharpe Ratio of the average fund in the same Lipper Class. Second order lags of the dependent variable are also included to ensure proper specification of the model. ***, **, and * denote significance at the 1%, 5%, and 10% levels, respectively. Panel A: Quarterly Estimates Variable Coefficient Std. Error t-Statistic Prob. Intercept 0.0126*** 0.0048 2.641 0.008 highadjust1 0.1032** 0.0448 2.305 0.021 highadjust2 0.0007 0.0006 1.226 0.220 lowadjust1 -0.0346 0.0341 -1.015 0.310 lowadjust2 -0.0001 0.0002 -0.275 0.783 Market Sharpe 0.9421*** 0.0387 24.318 0.000 Classification Sharpe 0.0057 0.0036 1.597 0.110 R-Square 0.752 No. of Funds 23,198 N 602,017 Panel B: Yearly Estimates Variable Coefficient Std. Error t-Statistic Prob. Intercept 0.0469** 0.0230 2.042 0.041 highadjust1 0.0133 0.0823 0.161 0.872 highadjust2 0.0754 0.0537 1.405 0.160 lowadjust1 -0.0628* 0.0354 -1.776 0.076 lowadjust2 -0.0537* 0.0302 -1.777 0.076 Market Sharpe 0.8922*** 0.0510 17.479 0.000 Classification Sharpe 0.0001 0.0025 0.037 0.971 R-Square 0.834 No. of Funds 24,158 N 123,302
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