A.1 Normal prior by Z-score category
Table 20: Asset correlation in year 2005 for Normal prior by Z-score category
category mean sd MC error 2.5% median 97.5%
Z-score>2.99 0.0764 0.0035 0.0001 0.0697 0.0764 0.0832 1.81<Z-score<2.99 0.0553 0.0062 0.0001 0.0434 0.0552 0.0677 Z-score<1.81 0.0342 0.0061 0.0002 0.0223 0.0342 0.0462
The sample size of category “Z-score>2.99” is 1422, of category “1.81<Z-score<2.99”
is 454 and of category “Z-score<1.81” is 588.
Table 21: Asset correlation in year 2004 for Normal prior by Z-score category
category mean sd MC error 2.5% median 97.5%
Z-score>2.99 0.0937 0.0035 0.0001 0.0868 0.0937 0.1004 1.81<Z-score<2.99 0.0825 0.0056 0.0001 0.0716 0.0825 0.0935 Z-score<1.81 0.0652 0.0064 0.0001 0.0526 0.0652 0.0779
The sample size of category “Z-score>2.99” is 1499, of category “1.81<Z-score<2.99”
is 520 and of category “Z-score<1.81” is 531.
Table 22: Asset correlation in year 2003 for Normal prior by Z-score category
category mean sd MC error 2.5% median 97.5%
Z-score>2.99 0.0851 0.0041 0.0002 0.0771 0.0850 0.0935 1.81<Z-score<2.99 0.0755 0.0062 0.0002 0.0634 0.0755 0.0874 Z-score<1.81 0.0546 0.0096 0.0003 0.0367 0.0541 0.0746
The sample size of category “Z-score>2.99” is 1339, of category “1.81<Z-score<2.99”
is 490 and of category “Z-score<1.81” is 597.
Table 23: Asset correlation in year 2002 for Normal prior by Z-score category
category mean sd MC error 2.5% median 97.5%
Z-score>2.99 0.1475 0.0050 0.0002 0.1379 0.1474 0.1576 1.81<Z-score<2.99 0.1239 0.0067 0.0002 0.1111 0.1237 0.1374 Z-score<1.81 0.1068 0.0111 0.0005 0.0865 0.1062 0.1300 The sample size of category “Z-score>2.99” is 1112, of category “1.81<Z-score<2.99”
is 516 and of category “Z-score<1.81” is 783.
Table 24: Asset correlation in year 2001 for Normal prior by Z-score category
category mean sd MC error 2.5% median 97.5%
Z-score>2.99 0.1675 0.0065 0.0003 0.1534 0.1654 0.1789 1.81<Z-score<2.99 0.0799 0.0073 0.0002 0.0660 0.0798 0.0944 Z-score<1.81 0.0935 0.0115 0.0004 0.0722 0.0933 0.1171 The sample size of category “Z-score>2.99” is 1209, of category “1.81<Z-score<2.99”
is 480 and of category “Z-score<1.81” is 607.
A.2 Beta prior by Z-score category
Table 25: Asset correlation in year 2005 for Beta prior by Z-score category
category mean sd MC error 2.5% median 97.5%
Z-score>2.99 0.0764 0.0035 0.0001 0.0694 0.0764 0.0832 1.81<Z-score<2.99 0.0546 0.0063 0.0002 0.0422 0.0548 0.0668 Z-score<1.81 0.0341 0.0061 0.0001 0.0216 0.0341 0.0460 The sample size of category “Z-score>2.99” is 1422, of category “1.81<Z-score<2.99”
is 454 and of category “Z-score<1.81” is 588.
Table 26: Asset correlation in year 2004 for Beta prior by Z-score category
category mean sd MC error 2.5% median 97.5%
Z-score>2.99 0.0939 0.0036 0.0001 0.0870 0.0939 0.1009 1.81<Z-score<2.99 0.0824 0.0057 0.0001 0.0712 0.0824 0.0935 Z-score<1.81 0.0648 0.0065 0.0002 0.0522 0.0649 0.0776 The sample size of category “Z-score>2.99” is 1499, of category “1.81<Z-score<2.99”
is 520 and of category “Z-score<1.81” is 531.
Table 27: Asset correlation in year 2003 for Beta prior by Z-score category
category mean sd MC error 2.5% median 97.5%
Z-score>2.99 0.0847 0.0040 0.0001 0.0767 0.0847 0.0924 1.81<Z-score<2.99 0.0754 0.0060 0.0001 0.0637 0.0754 0.0872 Z-score<1.81 0.0532 0.0096 0.0003 0.0347 0.0529 0.0728 The sample size of category “Z-score>2.99” is 1339, of category “1.81<Z-score<2.99”
is 490 and of category “Z-score<1.81” is 597.
Table 28: Asset correlation in year 2002 for Beta prior by Z-score category
category mean sd MC error 2.5% median 97.5%
Z-score>2.99 0.1471 0.0047 0.0002 0.1382 0.1470 0.1563 1.81<Z-score<2.99 0.1238 0.0065 0.0002 0.1113 0.1236 0.1368 Z-score<1.81 0.1057 0.0114 0.0006 0.0844 0.1051 0.1293 The sample size of category “Z-score>2.99” is 1112, of category “1.81<Z-score<2.99”
is 516 and of category “Z-score<1.81” is 783.
Table 29: Asset correlation in year 2001 for Beta prior by Z-score category
category mean sd MC error 2.5% median 97.5%
Z-score>2.99 0.1663 0.0059 0.0004 0.1547 0.1663 0.1783 1.81<Z-score<2.99 0.0795 0.0072 0.0002 0.0655 0.0795 0.0939 Z-score<1.81 0.0927 0.0111 0.0004 0.0721 0.0923 0.1157 The sample size of category “Z-score>2.99” is 1209, of category “1.81<Z-score<2.99”
is 480 and of category “Z-score<1.81” is 607.
A.3 Normal prior by firm size category
Table 30: Asset correlation in year 2005 for Normal prior by firm size category
firm size mean sd MC error 2.5% median 97.5%
> $1b 0.1385 0.004734 1.06E-04 0.1292 0.1386 0.1477 ($100m,$1b) 0.1309 0.003757 1.04E-04 0.1235 0.1309 0.1382 ($0m,$100m) 0.01887 0.005328 1.17E-04 0.008544 0.01875 0.0295 The sample size of category “> $1b” is 567, of category “($100m,$1b)” is 1025 and of category “($0m,$100m)” is 867.
Table 31: Asset correlation in year 2004 for Normal prior by firm size category
firm size mean sd MC error 2.5% median 97.5%
> $1b 0.1757 0.004437 1.08E-04 0.1669 0.1757 0.1842 ($100m,$1b) 0.164 0.003655 1.17E-04 0.1567 0.164 0.171 ($0m,$100m) 0.03871 0.005492 1.40E-04 0.02791 0.03883 0.04918 The sample size of category “> $1b” is 601, of category “($100m,$1b)” is 1041 and of category “($0m,$100m)” is 901.
Table 32: Asset correlation in year 2003 for Normal prior by firm size category
firm size mean sd MC error 2.5% median 97.5%
> $1b 0.2138 0.004531 1.36E-04 0.2049 0.2138 0.2226 ($100m,$1b) 0.1461 0.004026 1.57E-04 0.1382 0.1462 0.1537 ($0m,$100m) 0.02973 0.006133 1.67E-04 0.01807 0.02955 0.04229 The sample size of category “> $1b” is 556, of category “($100m,$1b)” is 989 and of category “($0m,$100m)” is 874.
Table 33: Asset correlation in year 2002 for Normal prior by firm size category
firm size mean sd MC error 2.5% median 97.5%
> $1b 0.2775 0.005466 3.08E-04 0.2668 0.2775 0.2884 ($100m,$1b) 0.2111 0.00519 3.42E-04 0.2009 0.2112 0.2209 ($0m,$100m) 0.04837 0.007916 2.32E-04 0.03363 0.04805 0.06477 The sample size of category “> $1b” is 481, of category “($100m,$1b)” is 958 and of category “($0m,$100m)” is 958.
Table 34: Asset correlation in year 2001 for Normal prior by firm size category
firm size mean sd MC error 2.5% median 97.5%
> $1b 0.2766 0.005327 2.13E-04 0.2661 0.2767 0.2871 ($100m,$1b) 0.192 0.00599 3.94E-04 0.1804 0.1919 0.204 ($0m,$100m) 0.06512 0.009035 2.66E-04 0.04795 0.06488 0.08344 The sample size of category “> $1b” is 455, of category “($100m,$1b)” is 934 and of category “($0m,$100m)” is 895.
A.4 Beta prior by firm size category
Table 35: Asset correlation in year 2005 for Beta prior by firm size category
firm size mean sd MC error 2.5% median 97.5%
> $1b 0.1386 0.004785 1.05E-04 0.1293 0.1386 0.1479 ($100m,$1b) 0.1309 0.003843 1.36E-04 0.1233 0.1309 0.1383 ($0m,$100m) 0.01814 0.005514 1.28E-04 0.00742 0.01814 0.02861 The sample size of category “> $1b” is 567, of category “($100m,$1b)” is 1025 and of category “($0m,$100m)” is 867.
Table 36: Asset correlation in year 2004 for Beta prior by firm size category
firm size mean sd MC error 2.5% median 97.5%
> $1b 0.1755 0.004359 9.92E-05 0.1671 0.1755 0.184 ($100m,$1b) 0.1635 0.00378 1.26E-04 0.1562 0.1634 0.1709 ($0m,$101m) 0.03833 0.005587 1.42E-04 0.0274 0.03842 0.04925 The sample size of category “> $1b” is 601, of category “($100m,$1b)” is 1041 and of category “($0m,$100m)” is 901.
Table 37: Asset correlation in year 2003 for Beta prior by firm size category
firm size mean sd MC error 2.5% median 97.5%
> $1b 0.2137 0.004598 1.43E-04 0.2047 0.2137 0.2228 ($100m,$1b) 0.1456 0.004107 1.69E-04 0.1376 0.1456 0.1538 ($0m,$100m) 0.02905 0.006114 1.48E-04 0.01726 0.02897 0.04125 The sample size of category “> $1b” is 556, of category “($100m,$1b)” is 989 and of category “($0m,$100m)” is 874.
Table 38: Asset correlation in year 2002 for Beta prior by firm size category
firm size mean sd MC error 2.5% median 97.5%
> $1b 0.2774 0.005343 2.81E-04 0.2667 0.2773 0.288 ($100m,$1b) 0.2116 0.005021 3.11E-04 0.2017 0.2117 0.2215 ($0m,$100m) 0.04742 0.007732 2.24E-04 0.03258 0.04735 0.06307 The sample size of category “> $1b” is 481, of category “($100m,$1b)” is 958 and of category “($0m,$100m)” is 958.
Table 39: Asset correlation in year 2001 for Beta prior by firm size category
firm size mean sd MC error 2.5% median 97.5%
> $1b 0.2765 0.005602 2.81E-04 0.2656 0.2765 0.2876 ($100m,$1b) 0.1907 0.005668 3.36E-04 0.1794 0.1907 0.2019 ($0m,$100m) 0.06451 0.009267 3.83E-04 0.0473 0.06417 0.08444 The sample size of category “> $1b” is 455, of category “($100m,$1b)” is 934 and of category “($0m,$100m)” is 895.