Number of Stocks in PortfolioPortfolio return

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10 Appendices

Appendix 1 - Charts of portfolio returns and number of stocks in the portfolios

Note: - some exceptionally high returns may not be visible in the charts

- Numbers of companies visible in the graph may never achieve the total number of companies mentioned in the text because

companies enter and exit the portfolios as they are listed/delisted, or manually excluded as mentioned in section 3.1.1.

Chart 1 – Portfolio Returns and Number of Stocks in Portfolios for EU

0 20 40 60 80 100 120 140 /1988 5/199 0 0/199 1 /12/19 92 /1994 1/199 5 3/199 7 8/199 8 /11/19 99 /2001 9/200 2 2/200 4 6/200 5 /9/20 06 N u m b e r o f S to c k s i n P o rt fo li o -0.3 -0.1 0.1 0.3 0.5 0.7 0.9 1.1 1.3 P o rt fo li o r e tu rn

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Chart 2 – Portfolio Returns and Number of Stocks in the Portfolios for USA 0 20 40 60 80 100 120 140 1/3/19 73 5/29/1 974 10/22 /1975 3/16/1 977 8/9/19 78 1/2/19 80 5/27/1 981 10/20 /1982 3/14/1 984 8/7/19 85 12/31 /1986 5/25/1 988 10/18 /1989 3/13/1 991 8/5/19 92 12/29 /1993 5/24/1 995 10/16 /1996 3/11/1 998 8/4/19 99 12/27 /2000 5/22/2 002 10/15 /2003 3/9/20 05 8/2/20 06 12/26 /2007 Date N u m b e r o f S to c k s i n P o rt fo li o -0.3 -0.1 0.1 0.3 0.5 0.7 0.9 1.1 1.3 P o rt fo li o r e tu rn

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Chart 3 - Portfolio Returns and Number of Stocks in the Portfolios for Canada 0 5 10 15 20 25 30 35 40 45 50 9/1/19 88 1/25/1 990 6/20/1 991 11/12 /1992 4/7/19 94 8/31/1 995 1/23/1 997 6/18/1 998 11/11 /1999 4/5/20 01 8/29/2 002 1/22/2 004 6/16/2 005 11/9/ 2006 Date N u m b e r o f S to c k s i n P o rt fo li o -0.3 -0.1 0.1 0.3 0.5 0.7 0.9 P o rt fo li o r e tu rn

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Chart 4 - Portfolio Returns and Number of Stocks in the Portfolios for China 0 5 10 15 20 25 30 35 1/12/1 999 6/6/20 00 10/30 /2001 3/25/2 003 8/17/2 004 1/10/2 006 6/5/20 07 N u m b e r o f S to c k s i n P o rt fo li o -0.3 -0.1 0.1 0.3 0.5 0.7 0.9 1.1 1.3 P o rt fo li o r e tu rn

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Chart 5 - Portfolio Returns and Number of Stocks in the Portfolios for Australia 0 5 10 15 20 25 30 35 8/4/19 89 12/28 /1990 5/22/1 992 10/15 /1993 3/10/1 995 8/2/19 96 12/26 /1997 5/21/1 999 10/13 /2000 3/8/20 02 8/1/20 03 12/24 /2004 5/19/2 006 10/12 /2007 Date N u m b e r o f S to c k s i n P o rt fo li o -0.3 -0.1 0.1 0.3 0.5 0.7 0.9 1.1 1.3 P o rt fo li o r e tu rn

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Appendix 3

TABLE 22 - Description of Used Variables

Variable Name Definition Available through Data Source

Rp,t Portfolio return Ri,t

-Ri,t Stock return Vi,t

-Vi,t Stock value

Stock value measured as daily Total Return Index in USD

DataStream or

finance.yahoo.com World Equity Exchanges

Oil Oil price change Brentt

-Brentt Brent Crude oil price Daily price per barrel in USD DataStream Platt's

IBORt

Interbank Offered Rate

Change IRt

-IRt Interbank Offered Rate Daily interbank offered rate DataStream British Bankers' Association

IndexAdj Adjusted index return

Value of index adjustet according outcome of

regression based on Equation 3. Indext

-Indext Equity Index Return Indt

-Indt Equity Index

Equity Index of all the stocks quoted in the

region analyzed DataStream MSCI Barra

Commt Commodities Price change RAgri,t

-RAgri,t Agri,t

-Agri,t Commodities Price

Daily price in USD for commodity relevant for

region analyzed DataStream Public Ledger

In this table we present the variables that are used in our models as well as underlying variables that were used for their construction

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Appendix 4

TABLE 23 - Critical Values of Durbin Watson Statistics

Observations Number of Regressors DW statistics Tabulated observations dL dU

Index 1466 2 1.952 1450 1.912 1.915

Portfolio 1466 2 2.009 1450 1.912 1.915

Index 1514 6 2.042 1500 1.908 1.922

Portfolio 1466 8 2.016 1450 1.904 1.923

Index 3274 6 1.965 2000 1.921 1.931

Portfolio 3272 8 2.005 2000 1.919 1.934

Index 3337 3 2.030 2000 1.924 1.928

Portfolio 3336 4 2.008 2000 1.923 1.929

Index 2090 3 2.088 2000 1.924 1.928

Portfolio 2090 2 1.996 2000 1.925 1.927

Index 805 8 1.991 800 1.856 1.896

Portfolio 805 2 2.009 800 1.873 1.879

Index 2162 3 2.080 2000 1.924 1.928

Portfolio 2162 6 2.023 2000 1.921 1.931

Index 3086 6 2.046 2000 1.921 1.931

Portfolio 3086 4 2.060 2000 1.923 1.929

Observations Number of Regressors DW statistics Tabulated observations dL dU Canada - Period 2 Canada - Period 3 Canada - Period 4 USA - Period 1 USA - Period 2 USA - Period 3 Canada - Period 1

In this table we present upper and lower critical values of Durbin Watson statistics denoted as dL and dU based on various number of obesrvations applicable to our analyses. All values are for 5% level of significance.

Results from our regressions are denoted as DW statistics. Number of Regressors includes the constant. European Union - Period 1

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TABLE 23 - Continued

Index 770 4 1.999 750 1.872 1.888

Portfolio 770 8 1.864 750 1.861 1.899

Index 1146 3 1.988 1150 1.9 1.907

Portfolio 1146 6 2.034 1150 1.894 1.912

Index 768 4 1.956 750 1.872 1.888

Portfolio 768 5 2.113 750 1.869 1.891

Index 2521 4 2.036 2000 1.923 1.929

Portfolio 2521 5 2.151 2000 1.922 1.93

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Appendix 5

TABLE 24 - Abbreviations Used in Tables of Regression Results

Abbreviation Explanation

Equivalent in Equations 2 and/or 3

OLS Ordinary Least Squares Method

-WHCCC White's Heteroscedasticity Consistent Coefficient Covariance -EGARCH (1,1) EGARCH method of estimation with one lag of squared residuals and one lag of conditional variance -Prob(Berra-Jarque) p - value of Berra Jarque normality test

-AIC Akaike's Information Criterion

-SIC Schwarz's Information Criterion -Prob(F-statistic) p-value of F-test of joint hypothesis of zero regression coefficients -Coeff. Regression coefficient for a particular variable -Prob. p - value of Student's t - test for value of coefficient being statistically equal to zero -OILRISE Relative change in oil price in case that the price appreciates d₀Oil d₀Oil

OILFALL Relative change in oil price in case that the price depreciates (1-d₀)Oil

IBOR Interbank offered rate IBOR

INDEX Equity index raw without any adjustments Index

INDEXADJ Equity index adjusted for fluctuations exogenous factors that are explicitly used in our analyses IndexAdj

INDEXADJE

Equity index adjusted for fluctuations exogenous factors that are explicitly used in our analyses estimated

through EGARCH(1,1) method IndexAdjE

COMM Relative change in value of portfolio of agricultural commodities COMM

R Return of the portfolio that is being analyzed R

Dm

Prefix that indicates that a variable is multiplied by a dummy which distinguishes parts of data set before and after occurrence of a milestone d_m

In this table we present list of abbreviations, where some of them correspond to variables used in the regressions and others are used in reporting the estimation statistics. The before last two abbreviations represent dummy variables which are usually multiplied with other variables. Therefore