Table 2.

Summary statistics

Variable	$R_{m,t}^c$	$R_{a,t}^c$	$R_{d,t}^c$	$R_t^{s\&p}$
Mean (%)	−0.018	0.029	0.012	0.037
SD (%)	1.087	0.910	1.463	1.086
Min (%)	−8.565	−7.292	−8.748	−11.984
Max (%)	5.788	4.835	6.715	9.383
Skewness	−0.524	−0.515	−0.515	−0.680
Kurtosis	8.881	10.369	7.408	20.369
ADF-test	−46.637***	−39.872***	−48.315***	−19.035***

Notes. The ADF-test is used to test whether the return series has a unit root. In this table, *, **, and *** denote two-tailed significance at the 10%, 5%, and 1% level, respectively