optimal lambda

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

Last Updated on 1/14/99
By Fuqua School of Business