http://clevelandfed.org/research/workpaper
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Table 1: Mean Daily Returns for MV and PR Portfolios
(Basis Points)
|
MVl |
MV2 |
MV3 |
MV4 |
MV5 |
MV6 |
MV7 |
MV8 |
MV9 |
MVlO |
F-TEST MVl = ...=MVlO | |
|
SAMPLEa |
0.0520 |
0.0511 |
0.0472 |
0.0470 |
0.0405 |
0.0413 |
0.0400 |
0.0313 |
0.0307 |
0.0192 |
F(9,51190) = 0.837 |
|
ADJ YEARb |
0.0245 |
0.0294 |
0.0278 |
0.0296 |
0.0244 |
0.0273 |
0.0281 |
0.0214 |
0.0222 |
0.0131 |
F(9,49190) = 0.133 |
|
TOYc |
0.7282 |
0.5839 |
0.5232 |
0.4729 |
0.4368 |
0.3856 |
0.3313 |
0.2736 |
0.2398 |
0.1703 |
F(9,1990) = 5.819+ |
|
PRE-YRNDd |
0.3286 |
0.3526 |
0.3408 |
0.3033 |
0.2966 |
0.3285 |
0.2994 |
0.3079 |
0.2761 |
0.2494 |
F(9,99O) = 0.179 |
|
PST-YRNDe |
1.1278 |
0.8151 |
0.7057 |
0.6425 |
0.5771 |
0.4427 |
0.3632 |
0.2393 |
0.2036 |
0.0913 |
F(9,99O) = 7.141+ |
|
PRl |
PR2 |
PR3 |
PR4 |
PR5 |
PR6 |
PRZ |
PR8 |
PR9 |
PRlO |
F-TEST PRl=...=PRlO | |
|
SAMPLE |
0.0521 |
0.0418 |
0.0479 |
0.0472 |
0.0431 |
0.0411 |
0.0329 |
0.0337 |
0.0325 |
0.0297 |
F(9,5H90) = 0.458 |
|
ADJ YEAR |
0.0179 |
0.0180 |
0.0279 |
0.0301 |
0.0280 |
0.0280 |
0.0225 |
0.0244 |
0.0263 |
0.0256 |
F(9,49190) = 0.140 |
|
TOY |
0.8943 |
0.6278 |
0.5410 |
0.4667 |
0.4148 |
0.3618 |
0.2890 |
0.2615 |
0.1863 |
0.1304 |
F(9,1990) = 9.762' > |
|
PRE-YRND |
0.4647 |
0.3083 |
0.3601 |
0.3511 |
0.3061 |
0.3070 |
0.2519 |
0.2677 |
0.2461 |
0.2374 |
F(4,495) = 1.038 7 |
|
PST-YRND |
1.3420 |
0.9472 |
0.7213 |
0.5822 |
0.5237 |
0.4165 |
0.3262 |
0.2552 |
0.1265 |
0.0233 |
F(4,495) = 10.446' |
a. SAMPLE = sample period: 5,120 observations.
b. ADJ YEAR = adjusted-year period: 4,920 observations.
c. TOY = turn-of-the-year period: 200 observations.
d. PRE-YRND = pre-yearend period: 100 observations.
e. PST-YRND = post-yearend period: 100 observations.
* Significant at 5%.
Significant at 1%.
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