Fig. 4

Evidence from rolling panel linear regressions. Note: This figure plots the estimated coefficient \(\hat{\beta}_{CPR}\)  from running a rolling regression of Eq. (2) using the sector-diversified specification of the GMB portfolio over a sample covering the 10 previous years. The coefficient in t is thus estimated using a sample covering the period {t minus 10 years, t}. The standard errors are estimated using the HAC estimator. The confidence intervals are obtained by adding 1, respectively, 1.645 standard error