This table present save rage coefficient estimatesfrommonthlyFama&MacBeth(1973)regressions.Eachmonth,weregressthe excessstockreturnsoverthenextmonthonaconstant,LRVAR(1),aswellasaseriesofcontrolvariables,allmeasuredattheend ofthecurrentmonth.Allright-hand-sidevariablesarestandardizedtohavezeromeanandavolatilityofone.Inparentheses, wereportrobustNewey&West(1987)correctedstandarderrorsusing5lags.∗,∗∗,and∗∗∗indicatesignificanceatthe10%, 5%,and1%level,respectively.Therowlabeledt-statisticpresentsthet-statisticforthepremiumonLRVAR(1).