Table 5.

Mean-variance regression

Index/stock	Until Dec/2011	2012–2019	2020
S&P 500	$-$ 0.0285*	$-$ 0.0365*	$-$ 0.0058*
DJIA	$-$ 0.0298*	$-$ 0.0473*	$-$ 0.0071*
NASDAQ	$-$ 0.025*	$-$ 0.0449*	0.0076*
FACEBOOK	$-$ 0.0028	$-$ 0.0295*	0.0088*
AMAZON	$-$ 0.0014*	$-$ 0.0248*	0.0516*
TESLA	0.0414*	0.0266*	0.0301*
APPLE	$-$ 0.0119*	$-$ 0.0685*	0.0016
NETFLIX	$-$ 0.0081*	$-$ 0.0131*	0.0536*
GOOGLE	$-$ 0.0258*	$-$ 0.0137*	$-$ 0.0004

Estimates for $\beta$ in the simple linear regression model: ${\mu }_t=\alpha +\beta {\sigma }_{\mathit{rt}}^2+{\epsilon }_t$, where ${\mu }_t$ and ${\sigma }_{\mathit{rt}}^2$ represent the rolling window mean and variance. *Denote statistically significant at the $1\%$ significance level, based on the p value associated with the corresponding t significance test