Errors in recorded security prices and the turn-of-the year effect

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1 For β_f we cannot reject the cross-equation equality restriction that
β∣ equals zero for the MV, SIZE, and MVPR portfolios. We do reject the
restriction that Bi is equal across equations for the PR (PRICE) port-
folios at the 5% <17.) significance level.

12. This argument can be made even stronger by noting that the estimated
regression coefficients and test results for the MVPR portfolios are very
close to those for the MV portfolios.

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