ns, both high and low, are higher than would be predicted by the normal distribution.

Further
evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use monthly data
on both the market index and, for comparison, several “style” portfolios. You may remember from
Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other
funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined
along two dimensions: size (do the funds invest in large cap or small cans, both high and low, are
higher than would be predicted by the normal distribution. Further evidence on the distribution of
excess equity returns is given in Table 5.4. Here, we use monthly data on both the market index and,
for comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small cans, both high
and low, are higher than would be predicted by the normal distribution. Further evidence on the
distribution of excess equity returns is given in Table 5.4. Here, we use monthly data on both the
market index and, for comparison, several “style” portfolios. You may remember from Chapter 4,
Figure 4.5, that the performance of mutual funds is commonly evaluated relative to other funds with
similar investment “styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two
dimensions: size (do the funds invest in large cap or small cans, both high and low, are higher than
would be predicted by the normal distribution. Further evidence on the distribution of excess equity
returns is given in Table 5.4. Here, we use monthly data on both the market index and, for
comparison, several “style” portfolios. You may remember from Chapter 4, Figure 4.5, that the
performance of mutual funds is commonly evaluated relative to other funds with similar investment
“styles.” (See the Morningstar style box in Figure 4.5.) Style is defined along two dimensions: size (do
the funds invest in large cap or small cans, both high and low, are higher than would be predicted by
the normal distribution. Further evidence on the distribution of excess equity returns is given in
Table 5.4. Here, we use monthly data on both the market index and, for comparison, several “style”
portfolios. You may remember from Chapter 4, Figure 4.5, that the performance of mutual funds is
commonly evaluated relative to other funds with similar investment “styles.” (See the Morningstar
style box in Figure 4.5.) Style is defined along two dimensions: size (do the funds invest in large cap
or small cans, both high and low, are higher than would be predicted by the normal distribution.
Further evidence on the distribution of excess equity returns is given in Table 5.4. Here, we use
monthly data on both the market index and, for comparison, several “style” portfolios. You may
remember from Chapter 4, Figure 4.5, that the performance of mutual funds is commonly evaluated
relative to other funds with similar investment “styles.” (See the Morningstar style box in Figure 4.5.)
Style is defined along two dimensions: size (do the funds invest in large cap or small ca