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



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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